A spectral method for bonds

DOI10.1016/J.COR.2006.02.014MaRDI QIDQ2384583zbMATH OpenOpenAlexFDO

Authors Javier de Frutos

Publication date 10 October 2007

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2006.02.014

zbMATH Keywords

bondsembedded optionsLaguerre polynomialsspectral methods

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A dynamic programming approach for pricing options embedded in bonds
• A finite element method for two factor convertible bonds
• A numerical PDE approach for pricing callable bonds
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
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• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
• Linearly implicit Runge-Kutta methods for advection-reaction-diffusion equations
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• Pricing interest-rate-derivative securities
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

Cited in

(9)

• A spectral algorithm for pricing interest rate options
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
• Nonconforming least-squares spectral element method for European options
• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
• A cyclical square-root model for the term structure of interest rates
• Approximation of dynamic programs
• Evaluating callable and putable bonds: an eigenfunction expansion approach
• A spectral method for an optimal investment problem with transaction costs under potential utility
• A spectral element method to price European options. I. Single asset with and without jump diffusion

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