A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529)
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scientific article; zbMATH DE number 6022116
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| English | A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond |
scientific article; zbMATH DE number 6022116 |
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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0.9515703
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0.9038589
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0.8922608
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0.8917917
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0.8877871
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0.88756657
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0.8832721
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0.87782407
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0.8749121
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