collaborators

1 paper

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…