A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond

DOI10.1007/S11075-011-9505-2zbMath1235.91172OpenAlexW2152725562MaRDI QIDQ411529

Tatiana Paraskevova Chernogorova, Beata Stehlíková

Publication date: 4 April 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-011-9505-2

zbMATH Keywords

difference schemedegenerate parabolic equationfinite volumeM-matrixbond pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (2)

Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing

Cites Work

• Boundary conditions for the single-factor term structure equation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical models of financial derivatives
• A Theory of the Term Structure of Interest Rates
• A Computational Scheme for a Problem in the Zero-coupon Bond Pricing
• Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• An equilibrium characterization of the term structure
• Unnamed Item

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