A central finite volume scheme for bond pricing problems

MaRDI QIDQ2823156zbMATH OpenFDO

Authors K. O. Judoonundun, A. A. E. F. Saib, Muddun Bhuruth, A. A. I. Peer, M. S. Sunhaloo

Publication date 6 October 2016

Published in Palestine Journal of Mathematics (Search for Journal in Brave)

Full work available at URL http://pjm.ppu.edu/sites/default/files/papers/20%20%20Peer%20ICentralBond_JPSSB15.pdf

zbMATH Keywords

bond pricingcentral schemefinite volume

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cited in

(2)

• An algorithm for solving bond pricing problem.
• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing

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