A finite element method for two factor convertible bonds

MaRDI QIDQ3369470zbMATH OpenFDO

Authors Javier de Frutos

Publication date 13 February 2006

zbMATH Keywords

method of linesRunge-Kutta method

Mathematics Subject Classification ID

Recommendations

• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
• A finite volume approach for contingent claims valuation
• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

Cited in

(3)

• A method-of-lines approach for solving American option problems
• A spectral method for bonds
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

This page was built for publication: A finite element method for two factor convertible bonds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3369470)