Generalized trapezoidal formulas for pricing bond options

zbMATH Open1228.91066MaRDI QIDQ3172238FDOQ3172238

Authors: Man M. Chawla 

Publication date: 5 October 2011

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• scientific article; zbMATH DE number 2104089
• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

zbMATH Keywords

Crank-Nicolson schemefinite difference methodszero-coupon bondsbond optionsbond pricing equationgeneralized trapezoidal formula schemes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (2)

• Generalized trapezoidal formulas for valuing American options
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL

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