"A high-order deferred correction method for the solution of free boundary ..."

Dawei Wang, Kirill Serkh, Christina C. Christara (2022)

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DOI: 10.48550/ARXIV.2205.00617

access: open

type: Informal or Other Publication

metadata version: 2022-05-03

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  - journals/corr/abs-2205-00617
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  - https://dblp.org/rec/journals/corr/abs-2205-00617
Dawei Wang, Kirill Serkh, Christina C. Christara:
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing. CoRR abs/2205.00617 (2022)

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