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

doi:10.1007/s13160-022-00507-0

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

KAUST
Louisiana Tech University

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

Original language	English
Pages (from-to)	753-775
Number of pages	23
Journal	Japan Journal of Industrial and Applied Mathematics
Volume	39
Issue number	2
DOIs	https://doi.org/10.1007/s13160-022-00507-0
State	Published - May 2022
Externally published	Yes

ASJC Scopus Subject Areas

General Engineering
Applied Mathematics

Keywords

Compact scheme
Dividend and non-dividend options
High order analytical approximation
Optimal exercise boundary
Robin boundary condition
Runge–Kutta- 5(4) pairs

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10.1007/s13160-022-00507-0

Cite this

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title = "On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation",

keywords = "Compact scheme, Dividend and non-dividend options, High order analytical approximation, Optimal exercise boundary, Robin boundary condition, Runge–Kutta- 5(4) pairs",

author = "Chinonso Nwankwo and Weizhong Dai",

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year = "2022",

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doi = "10.1007/s13160-022-00507-0",

language = "English",

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T1 - On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation

AU - Nwankwo, Chinonso

AU - Dai, Weizhong

PY - 2022/5

Y1 - 2022/5

KW - Compact scheme

KW - Dividend and non-dividend options

KW - High order analytical approximation

KW - Optimal exercise boundary

KW - Robin boundary condition

KW - Runge–Kutta- 5(4) pairs

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UR - https://www.scopus.com/pages/publications/85127348648#tab=citedBy

U2 - 10.1007/s13160-022-00507-0

DO - 10.1007/s13160-022-00507-0

M3 - Article

AN - SCOPUS:85127348648

SN - 0916-7005

VL - 39

SP - 753

EP - 775

JO - Japan Journal of Industrial and Applied Mathematics

JF - Japan Journal of Industrial and Applied Mathematics

IS - 2

ER -

On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation

ASJC Scopus Subject Areas

Keywords

Access to Document

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