Efficiency of Some Predictor–Corrector Methods with Fourth-Order Compact Scheme for a System of Free Boundary Options
The trade-off between numerical accuracy and computational cost is always an important factor to consider when pricing options numerically, due to the inherent irregularity and existence of non-linearity in many models. In this work, we first present fast and accurate (1,2) and (2,2) predictor–corre...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/8/762 |