research
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09/07/2023
Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
In this research work, we propose a high-order time adapted scheme for p...
research
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11/21/2022
Deep learning and American options via free boundary framework
We propose a deep learning method for solving the American options model...
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07/28/2022
Sixth-Order Compact Differencing with Staggered Boundary Schemes and 3(2) Bogacki-Shampine Pairs for Pricing Free-Boundary Options
We propose a stable sixth-order compact finite difference scheme with a ...
research
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08/23/2021
On the Efficiency of 5(4) RK-Embedded Pairs with High Order Compact Scheme and Robin Boundary Condition for Options Valuation
When solving the American options with or without dividends, numerical m...
research
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12/17/2020