Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices (Q5135567)
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scientific article; zbMATH DE number 7276496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices |
scientific article; zbMATH DE number 7276496 |
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Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices (English)
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23 November 2020
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alternative direction implicit methods
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boundary conditions
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finite difference methods
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interest rates (stochastic models)
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jump-diffusion stochastic processes
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zero-coupon bonds
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