Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
From MaRDI portal
Publication:409974
DOI10.1016/j.mcm.2011.06.049zbMath1235.65114arXiv1307.0235OpenAlexW2035935172MaRDI QIDQ409974
Radoslav L. Valkov, Tatiana Chernogorova
Publication date: 15 April 2012
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.0235
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
Related Items (14)
Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing ⋮ Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ Positivity-preserving finite volume difference schemes for atmospheric dispersion models with degenerate vertical diffusion ⋮ A second-order positivity preserving numerical method for gamma equation ⋮ Valuation of European Options with Liquidity Shocks Switching by Fitted Finite Volume Method ⋮ Dependence on the reaction in porous convection ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ A finite volume difference scheme for a model of settling particle dispersion from an elevated source in an open-channel flow ⋮ Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval ⋮ Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing ⋮ Fitted finite volume positive difference scheme for a stationary model of air pollution ⋮ Numerical methods to simulate moisture dynamics in fibrous sheet ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations ⋮ Positive numerical splitting method for the <scp>H</scp>ull and <scp>W</scp>hite 2D <scp>B</scp>lack–<scp>S</scp>choles equation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- A Computational Scheme for a Problem in the Zero-coupon Bond Pricing
- Robust Numerical Methods for Singularly Perturbed Differential Equations
- On the singular limit of solutions to the CIR interest rate model with stochastic volatility
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Computational Methods for Option Pricing
- Tools for computational finance
This page was built for publication: Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
