SIXTH-ORDER COMPACT DIFFERENCING WITH STAGGEREDBOUNDARY SCHEMES AND 3(2) BOGACKI-SHAMPINE PAIRSFOR PRICING FREE-BOUNDARY OPTIONS Br
INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING（2024）
Key words
Sixth-order compact finite difference,3(2) Bogacki and Shampine pairs,Dirichlet and Neumann boundary conditions,options price,Delta sensitivity,optimal exercise boundary
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