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Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model

  • University of Calgary
  • Louisiana Tech University

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)43-82
Number of pages40
JournalDecisions in Economics and Finance
Volume47
Issue number1
DOIs
StatePublished - Jun 2024
Externally publishedYes

ASJC Scopus Subject Areas

  • Finance
  • General Economics,Econometrics and Finance

Keywords

  • 65D15
  • 65L06
  • 65L50
  • 65M06
  • 65M50
  • Compact finite difference scheme
  • Hermite interpolation
  • Optimal exercise boundary
  • Regime-switching model
  • Runge–Kutta embedded pairs

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