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: 91G60 / rank | |||
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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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| Property / zbMATH DE Number: 6022116 / rank | |||
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degenerate parabolic equation | |||
| Property / zbMATH Keywords: degenerate parabolic equation / rank | |||
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bond pricing | |||
| Property / zbMATH Keywords: bond pricing / rank | |||
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finite volume | |||
| Property / zbMATH Keywords: finite volume / rank | |||
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difference scheme | |||
| Property / zbMATH Keywords: difference scheme / rank | |||
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M-matrix | |||
| Property / zbMATH Keywords: M-matrix / rank | |||
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Revision as of 19:39, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond |
scientific article |
Statements
A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (English)
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4 April 2012
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degenerate parabolic equation
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bond pricing
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finite volume
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difference scheme
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M-matrix
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