A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds

DOI10.4208/eajam.170516.201017azbMath1465.91129OpenAlexW2800872332MaRDI QIDQ4985195

Kailash C. Patidar, Edson Pindza

Publication date: 22 April 2021

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.170516.201017a

zbMATH Keywords

interest rate modelGreekszero-coupon bondAmerican put bond optionsbarycentric Legendre method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

• Unnamed Item
• Exponential time differencing for stiff systems
• Exponential Rosenbrock integrators for option pricing
• A Theory of the Term Structure of Interest Rates
• Barycentric Lagrange Interpolation
• The principle of minimized iterations in the solution of the matrix eigenvalue problem

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