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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:
J. Comput. Appl. Math. (2023)
Keyphrases
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high order
higher order
option pricing
objective function
low order
pairwise
decision problems
bayesian logistic regression
evolutionary algorithm