Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
DOI10.1007/s10203-023-00407-zzbMath1546.9127MaRDI QIDQ6581905
Weizhong Dai, Chinonso I. Nwankwo
Publication date: 1 August 2024
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Hermite interpolationcompact finite difference schemeregime-switching modeloptimal exercise boundaryRunge-Kutta embedded pairs
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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