Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme

DOI10.1016/J.CAMWA.2019.09.003zbMath1448.91325OpenAlexW2974240387WikidataQ127218134 ScholiaQ127218134MaRDI QIDQ2004605

Sha Lin, Song-Ping Zhu

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.09.003

zbMATH Keywords

ADI methodAmerican-style convertible bondspredictor-correct scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (3)

Perpetual cancellable American options with convertible features ⋮ Pointwise error estimate of an alternating direction implicit difference scheme for two-dimensional time-fractional diffusion equation ⋮ High order approximation of derivatives with applications to pricing of financial derivatives

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