An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
DOI10.1007/S13160-021-00470-2zbMath1483.91257arXiv2007.04408OpenAlexW3169122601MaRDI QIDQ2231609
Chinonso Nwankwo, Weizhong Dai
Publication date: 30 September 2021
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.04408
compact finite difference methodRunge-Kutta-Fehlberg methodoptimal exercise boundarylogarithmic transformationAmerican put optionsfixed free boundary
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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Algorithms for approximation of functions (65D15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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