A Computational Scheme for a Problem in the Zero-coupon Bond Pricing
From MaRDI portal
Publication:3114142
DOI10.1063/1.3526634zbMath1230.91188OpenAlexW2008759703MaRDI QIDQ3114142
Tatiana Chernogorova, Radoslav L. Valkov
Publication date: 30 January 2012
Published in: AIP Conference Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1063/1.3526634
convergencefinite volume methods\(M\)-matrixdegenerate parabolic equationdynamical boundary condition
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing ⋮ A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond ⋮ Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models
This page was built for publication: A Computational Scheme for a Problem in the Zero-coupon Bond Pricing
