Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
compact finite difference schemeHermite interpolationoptimal exercise boundaryregime-switching modelRunge-Kutta embedded pairs
Stopping times; optimal stopping problems; gambling theory (60G40) Numerical interpolation (65D05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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