A highly accurate linearized method for free boundary problems

DOI10.1016/j.camwa.2005.07.004zbMath1083.65062OpenAlexW2006890999MaRDI QIDQ813195

Wenbin Kong, Xiong-Hua Wu

Publication date: 31 January 2006

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2005.07.004

zbMATH Keywords

Variational inequalityPricingDifferential quadrature methodNumerical examplesNumerical resultsSingularityAmerican better-of options on two assetsHighly accurate linearized method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Free boundary problems for PDEs (35R35) Existence theories for optimal control problems involving partial differential equations (49J20)

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