Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options
DOI10.4208/ijnam2024-1032MaRDI QIDQ6631815
Chinonso I. Nwankwo, Weizhong Dai
Publication date: 1 November 2024
Published in: International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)
optimal exercise boundaryDirichlet and Neumann boundary conditionssixth-order compact finite differenceoptions price\(3(2)\) Bogacki and Shampine pairsdelta sensitivity
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
Cites Work
- A 3(2) pair of Runge-Kutta formulas
- A fast high-order finite difference algorithm for pricing American options
- A family of embedded Runge-Kutta formulae
- Evaluating approximations to the optimal exercise boundary for American options
- Optimal exercise boundary via intermediate function with jump risk
- Fast and accurate calculation of American option prices
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- An efficient Runge-Kutta \((4,5)\) pair
- Global error estimators for order 7, 8 Runge--Kutta pairs
- A family of parallel Runge-Kutta pairs
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- Embedded pairs for optimal explicit strong stability preserving Runge-Kutta methods
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
- Modified Runge-Kutta Verner methods for the numerical solution of initial and boundary-value problems with engineering applications
- A Runge-Kutta Fehlberg method with phase-lag of order infinity for initial-value problems with oscillating solution
- Compact finite difference method for American option pricing
- Highly accurate compact mixed methods for two point boundary value problems
- A simple numerical method for pricing an American put option
- Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations
- A parameter study of explicit Runge-Kutta pairs of orders 6(5)
- Strong stability-preserving high-order time discretization methods
- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- A variable order Runge-Kutta method for initial value problems with rapidly varying right-hand sides
- Fitted modifications of classical Runge‐Kutta pairs of orders 5(4)
- Algorithm 986
- A family of fifth-order Runge-Kutta pairs
- Option pricing: A simplified approach
- Compact finite difference method for integro-differential equations
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
This page was built for publication: Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options
