40 citations · 48 across the 11 of their papers we have counts for
7 papers · 1 filter
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…
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…
On the Efficiency of 5(4) RK-Embedded Pairs with High Order Compact Scheme and Robin Boundary Condition for Options Valuation
Chinonso Nwankwo, Weizhong Dai
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order sc…
Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step
Chinonso Nwankwo, Weizhong Dai
In this research work, an explicit Runge-Kutta-Fehlberg (RKF) time integration with a fourth-order compact finite difference scheme in space and a high order analytical approximati…
Multigrid Iterative Algorithm based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options
Chinonso Nwankwo, Weizhong Dai
We present a multigrid iterative algorithm for solving a system of coupled free boundary problems for pricing American put options with regime-switching. The algorithm is based on…
An Adaptive and Explicit Fourth Order Runge-Kutta-Fehlberg Method Coupled with Compact Finite Differencing for Pricing American Put Options
Chinonso Nwankwo, Weizhong Dai
We propose an adaptive and explicit fourth-order Runge-Kutta-Fehlberg method coupled with a fourth-order compact scheme to solve the American put options problem. First, the free b…
Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model
Chinonso Nwankwo, Weizhong Dai, Ruihua Liu
We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation…