Generalized trapezoidal formulas for pricing bond options

MaRDI QIDQ3172238zbMATH OpenFDO

Authors Man M. Chawla

Publication date 5 October 2011

zbMATH Keywords

bond optionsbond pricing equationCrank-Nicolson schemefinite difference methodsgeneralized trapezoidal formula schemeszero-coupon bonds

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• scientific article; zbMATH DE number 2104089
• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

Cited in

(2)

• Generalized trapezoidal formulas for valuing American options
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL

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