Generalized trapezoidal formulas for pricing bond options

MaRDI QIDQ3172238zbMATH OpenFDO

Authors Man M. Chawla

Publication date 5 October 2011

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)

Recommendations

• Generalized trapezoidal formulas for valuing American options
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• Numerical pricing of financial derivatives using Jain's high-order compact scheme
• 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

Cited in

(2)

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

This page was built for publication: Generalized trapezoidal formulas for pricing bond options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3172238)