A robust spectral method for pricing of American put options on zero-coupon bonds (Q4985195)
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scientific article; zbMATH DE number 7336698
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| English | A robust spectral method for pricing of American put options on zero-coupon bonds |
scientific article; zbMATH DE number 7336698 |
Statements
A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds (English)
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22 April 2021
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interest rate model
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American put bond options
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zero-coupon bond
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barycentric Legendre method
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Greeks
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0.8280041813850403
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0.8212788105010986
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0.8207374811172485
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0.8198740482330322
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0.7911431193351746
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