Local Refinement and Adaptive Strategy for a System of Free Boundary Power Options with High Order Compact Differencing
In this research, we propose fourth-order non-uniform Hermitian differencing with a fifth-order adaptive time integration method for pricing system of free boundary exotic power put options consisting of the option value, delta sensitivity, and gamma. The main objective for implementing the above sc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-06-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/6/602 |