Numerical techniques for pricing callable bonds with notice

DOI10.1016/J.AMC.2003.12.079zbMath1089.91021OpenAlexW2045784529MaRDI QIDQ1764750

Carlos Vázquez, José-Miguel Farto

Publication date: 22 February 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2003.12.079

zbMATH Keywords

Finite elementsNumerical methodsCharacteristics approximationInterest rate modelsNoticeable callable bonds

Mathematics Subject Classification ID

Related Items (6)

Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ A spectral method for bonds ⋮ A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty ⋮ Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing ⋮ Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods ⋮ Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation

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