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A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing.
Dawei Wang
Kirill Serkh
Christina C. Christara
Published in:
CoRR (2022)
Keyphrases
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high order
higher order
option pricing
objective function
image processing
low order
lower order
pairwise
optimal solution
multi objective
partial differential equations
tensor analysis