5 citations · 11 across the 8 of their papers we have counts for
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q-fin.CP2022★ 1 cited
Deep learning and American options via free boundary framework
Chinonso Nwankwo, Nneka Umeorah, Tony Ware +1
We propose a deep learning method for solving the American options model with a free boundary feature. To extract the free boundary known as the early exercise boundary from our pr…
q-fin.CP2022
Sixth-Order Compact Differencing with Staggered Boundary Schemes and 3(2) Bogacki-Shampine Pairs for Pricing Free-Boundary Options
Chinonso Nwankwo, Weizhong Dai
We propose a stable sixth-order compact finite difference scheme with a dynamic fifth-order staggered boundary scheme and 3(2) R-K Bogacki and Shampine adaptive time stepping for p…