An adaptive and explicit fourth order Runge–Kutta–Fehlberg method coupled with compact finite differencing for pricing American put options

Chinonso Nwankwo; Weizhong Dai

doi:10.1007/s13160-021-00470-2

An adaptive and explicit fourth order Runge–Kutta–Fehlberg method coupled with compact finite differencing for pricing American put options

Chinonso Nwankwo
, Weizhong Dai

University of Illinois
Louisiana Tech University

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	921-946
Number of pages	26
Journal	Japan Journal of Industrial and Applied Mathematics
Volume	38
Issue number	3
DOIs	https://doi.org/10.1007/s13160-021-00470-2
State	Published - Sep 2021
Externally published	Yes

ASJC Scopus Subject Areas

General Engineering
Applied Mathematics

Keywords

American put options
Compact finite difference method
Fixed free boundary
Logarithmic transformation
Optimal exercise boundary
Runge–Kutta–Fehlberg method

Access to Document

10.1007/s13160-021-00470-2

Cite this

@article{d0879903de5d432baf8a25caeed4102e,

title = "An adaptive and explicit fourth order Runge{\textendash}Kutta{\textendash}Fehlberg method coupled with compact finite differencing for pricing American put options",

keywords = "American put options, Compact finite difference method, Fixed free boundary, Logarithmic transformation, Optimal exercise boundary, Runge{\textendash}Kutta{\textendash}Fehlberg method",

author = "Chinonso Nwankwo and Weizhong Dai",

note = "Publisher Copyright: {\textcopyright} 2021, The JJIAM Publishing Committee and Springer Japan KK, part of Springer Nature.",

year = "2021",

month = sep,

doi = "10.1007/s13160-021-00470-2",

language = "English",

volume = "38",

pages = "921--946",

journal = "Japan Journal of Industrial and Applied Mathematics",

issn = "0916-7005",

number = "3",

}

TY - JOUR

T1 - An adaptive and explicit fourth order Runge–Kutta–Fehlberg method coupled with compact finite differencing for pricing American put options

AU - Nwankwo, Chinonso

AU - Dai, Weizhong

PY - 2021/9

Y1 - 2021/9

KW - American put options

KW - Compact finite difference method

KW - Fixed free boundary

KW - Logarithmic transformation

KW - Optimal exercise boundary

KW - Runge–Kutta–Fehlberg method

UR - https://www.scopus.com/pages/publications/85107773633

UR - https://www.scopus.com/pages/publications/85107773633#tab=citedBy

U2 - 10.1007/s13160-021-00470-2

DO - 10.1007/s13160-021-00470-2

M3 - Article

AN - SCOPUS:85107773633

SN - 0916-7005

VL - 38

SP - 921

EP - 946

JO - Japan Journal of Industrial and Applied Mathematics

JF - Japan Journal of Industrial and Applied Mathematics

IS - 3

ER -

An adaptive and explicit fourth order Runge–Kutta–Fehlberg method coupled with compact finite differencing for pricing American put options

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Fingerprint

Cite this