An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options (Q2231609)
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scientific article; zbMATH DE number 7404701
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| English | An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options |
scientific article; zbMATH DE number 7404701 |
Statements
An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options (English)
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30 September 2021
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American put options
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logarithmic transformation
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optimal exercise boundary
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compact finite difference method
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Runge-Kutta-Fehlberg method
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fixed free boundary
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0.787608802318573
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0.7821558713912964
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0.7683544158935547
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