Scholarlink

<p>In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and non-equdistant locally refined space-grid. The performance of our method is substantially enhanced to improve irregularities in the model which are both inherent and induced. Furthermore, the system of coupled PDEs is strongly nonlinear and involves several time-space-dependent coefficients that include the first-order derivative of the early exercise boundary. These coefficients are approximated from a fourth-order analytical approximation which is derived using a regularized square-root function. The semi-discrete equation for the option value and delta sensitivity is obtained from a high-order compact finite difference scheme in both uniform and non-equidistant grid. Fifth-order 5(4) Dormand–Prince time integration method is used to solve the coupled system of discrete equations. Enhancing the performance of our proposed method with local mesh refinement and adaptive strategies enables us to obtain highly accurate solution with very coarse space grids, hence reducing computational runtime substantially. We further verify the performance of our methodology as compared with some of the well-known and better-performing existing methods.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping

  • 期刊论文

  • 发表日期：

    2026年1月31日

查看全文
  • Chinonso Nwankwo,
  • Weizhong Dai,
  • Tony Ware

摘要

In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and non-equdistant locally refined space-grid. The performance of our method is substantially enhanced to improve irregularities in the model which are both inherent and induced. Furthermore, the system of coupled PDEs is strongly nonlinear and involves several time-space-dependent coefficients that include the first-order derivative of the early exercise boundary. These coefficients are approximated from a fourth-order analytical approximation which is derived using a regularized square-root function. The semi-discrete equation for the option value and delta sensitivity is obtained from a high-order compact finite difference scheme in both uniform and non-equidistant grid. Fifth-order 5(4) Dormand–Prince time integration method is used to solve the coupled system of discrete equations. Enhancing the performance of our proposed method with local mesh refinement and adaptive strategies enables us to obtain highly accurate solution with very coarse space grids, hence reducing computational runtime substantially. We further verify the performance of our methodology as compared with some of the well-known and better-performing existing methods.