Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing

DOI10.1016/j.mcm.2011.06.049zbMath1235.65114arXiv1307.0235OpenAlexW2035935172MaRDI QIDQ409974

Radoslav L. Valkov, Tatiana Chernogorova

Publication date: 15 April 2012

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.0235

zbMATH Keywords

difference schemedegenerate parabolic equationfinite volumeM-matrixzero-coupon pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (14)

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Cites Work

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• On the singular limit of solutions to the CIR interest rate model with stochastic volatility
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• Computational Methods for Option Pricing
• Tools for computational finance

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