An artificial boundary method for the Hull-White model of American interest rate derivatives

DOI10.1016/j.amc.2010.11.015zbMath1237.91235OpenAlexW1980740345MaRDI QIDQ621011

Hoi Ying Wong, Jing Zhao

Publication date: 2 February 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.11.015

zbMATH Keywords

finite difference methodartificial boundaryHull-White modelinterest rate derivativesearly exercise featuresingularity-separating

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) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

FFT network for interest rate derivatives with Lévy processes ⋮ Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

Cites Work

• Numerical solitons of generalized Korteweg-de Vries equations
• Finite element methods for partial Volterra integro-differential equations on two-dimensional unbounded spatial domains
• Absorbing boundary conditions for the stationary forced KdV equation
• A fast high-order finite difference algorithm for pricing American options
• A difference scheme for Burgers equation in an unbounded domain
• Pricing algorithms of multivariate path dependent options
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Application of the singularity-separating method to American exotic option pricing
• Derivative securities and difference methods.
• Exact and approximate artificial boundary conditions for the hyperbolic problems in unbounded domains
• Far Field Boundary Conditions for Black--Scholes Equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• An Artificial Boundary Method for American Option Pricing under the CEV Model
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Pricing Interest-Rate-Derivative Securities
• Bimatrix Equilibrium Points and Mathematical Programming
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

This page was built for publication: An artificial boundary method for the Hull-White model of American interest rate derivatives