A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 65M08 / rank @@
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@@ Property / Mathematics Subject Classification ID: 35K65 / rank @@
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+6022116
@@ Property / zbMATH DE Number: 6022116 / rank @@
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+degenerate parabolic equation
@@ Property / zbMATH Keywords: degenerate parabolic equation / rank @@
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@@ Property / zbMATH Keywords @@
+bond pricing
@@ Property / zbMATH Keywords: bond pricing / rank @@
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@@ Property / zbMATH Keywords @@
+finite volume
@@ Property / zbMATH Keywords: finite volume / rank @@
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@@ Property / zbMATH Keywords @@
+difference scheme
@@ Property / zbMATH Keywords: difference scheme / rank @@
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@@ Property / zbMATH Keywords @@
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+https://doi.org/10.1007/s11075-011-9505-2
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@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+A Computational Scheme for a Problem in the Zero-coupon Bond Pricing
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical models of financial derivatives
@@ Property / cites work: Mathematical models of financial derivatives / rank @@
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@@ Property / cites work @@
+Q4422865
@@ Property / cites work: Q4422865 / rank @@
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@@ Property / cites work @@
+Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
+Normal rank
@@ Property / cites work @@
+Boundary conditions for the single-factor term structure equation
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:411529