A highly accurate linearized method for free boundary problems

DOI10.1016/j.camwa.2005.07.004zbMath1083.65062MaRDI 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 inequality; Pricing; Differential quadrature method; Numerical examples; Numerical results; Singularity; American better-of options on two assets; Highly accurate linearized method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65K10: Numerical optimization and variational techniques

49J40: Variational inequalities

35R35: Free boundary problems for PDEs

49J20: Existence theories for optimal control problems involving partial differential equations

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