Boundary conditions for the solution of bond pricing equation by finite differences

zbMATH Open1258.91218MaRDI QIDQ2906322FDOQ2906322

Authors: Man M. Chawla 

Publication date: 5 September 2012

Published in: International Journal of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Crank-Nicolson schemeboundary conditionsfinite difference methodszero-coupon bondsbond pricing equationgeneralized trapezoidal formula schemes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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