Login / Signup

A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing.

Dawei WangKirill SerkhChristina C. Christara
Published in: J. Comput. Appl. Math. (2023)
Keyphrases
  • high order
  • higher order
  • option pricing
  • objective function
  • low order
  • pairwise
  • decision problems
  • bayesian logistic regression
  • evolutionary algorithm