A computational scheme for a problem in the zero-coupon bond pricing

DOI10.1063/1.3526634MaRDI QIDQ3114142zbMATH OpenOpenAlexFDO

Authors T. Chernogorova, R. Valkov

Publication date 30 January 2012

Published in AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.3526634

zbMATH Keywords

convergence\(M\)-matrixdegenerate parabolic equationfinite volume methodsdynamical boundary condition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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• Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
• An inverse problem arisen in the zero-coupon bond pricing
• Petrov-Galerkin analysis for a degenerate parabolic equation in zero-coupon bond pricing
• An algorithm for solving bond pricing problem.
• Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
• A central finite volume scheme for bond pricing problems
• True Interest Cost in Municipal Bond Bidding: An Integer Programming Approach

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