PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model

DOI10.1016/j.cnsns.2021.105914zbMath1479.91392arXiv1905.01099WikidataQ114196523 ScholiaQ114196523MaRDI QIDQ2045957

Andrea Pascucci, Sidi Diop, Carlos Vázquez, Maria del Carmen Calvo-Garrido

Publication date: 16 August 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.01099

zbMATH Keywords

semi-Lagrangian method; defaultable coupon bond; quadratic Lagrange finite elements; JDCEV pricing model; PDE formulation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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