On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
https://link.springer.com/content/pdf/10.1007/s13160-022-00507-0.pdf
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4. Bogacki, P., Shampine, L.F.: An efficient Runge-Kutta (4,5) pair. Comput. Math. Appl. 32, 15–28 (1996)
5. Brennan, M., Schwartz, E.: The valuation of American put options. J. Fin. 32, 449–462 (1997)
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