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

Dawei Wang, Kirill Serkh, Christina C. Christara (2023)

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DOI: 10.1016/J.CAM.2023.115272

access: closed

type: Journal Article

metadata version: 2023-07-07

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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. J. Comput. Appl. Math. 432: 115272 (2023)

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