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q-fin.CP2020
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…
q-fin.CP2020★ 2 cited
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…
q-fin.CP2020
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…