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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Nov 201919922001200920172026
3 results for “Runge-Kutta-Fehlberg”
An Adaptive and Explicit Fourth Order Runge-Kutta-Fehlberg Method Coupled with Compact Finite Differencing for Pricing American Put Optionsq-fin.CP

A new method solves American put options with high accuracy and speed.

problem Solving American put options with high accuracy and speed.
method Adaptive fourth-order Runge-Kutta-Fehlberg method coupled with a fourth-order compact scheme.
result The method provides a more accurate solution and better performance in terms of computational speed.
American put optionsRunge-Kutta-Fehlbergcompact finite differencingadaptive methoderror control
2020-07-08abs ↗pdf ↗
Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Stepq-fin.CP

New method solves complex financial option pricing with varying time steps.

problem Pricing American options with varying time steps and regime switching.
method Explicit Runge-Kutta-Fehlberg scheme with fourth-order compact finite difference in space and high order analytical approximation.
result The method provides better performance in terms of computational speed and accuracy.
American optionsregime switchingRunge-Kutta-Fehlbergcompact finite differenceoptimal exercise boundary
2020-12-17abs ↗pdf ↗