Front fixing finite difference method for pricing a corporate bond with credit rating migration

DOI10.1007/978-3-030-10692-8_47zbMath1492.91426OpenAlexW2909008089MaRDI QIDQ2420097

Juri D. Kandilarov, Lubin G. Vulkov

Publication date: 5 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-10692-8_47

zbMATH Keywords

free boundary problemfinite difference schemepredictor-corrector methodNewton methodcorporate bond-pricing modelcredit-rating migration

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)