A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond

DOI10.1007/S11075-011-9505-2MaRDI QIDQ411529zbMATH OpenOpenAlexFDO

Authors Tatiana Paraskevova Chernogorova, Beáta Stehlíková

Publication date 4 April 2012

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-011-9505-2

zbMATH Keywords

degenerate parabolic equationdifference schemeM-matrixfinite volumebond pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cites work

• scientific article; zbMATH DE number 1969613 (Why is no real title available?)
• A computational scheme for a problem in the zero-coupon bond pricing
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
• Boundary conditions for the single-factor term structure equation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical models of financial derivatives

Cited in

(11)

• Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
• A computational scheme for a problem in the zero-coupon bond pricing
• Petrov-Galerkin analysis for a degenerate parabolic equation in zero-coupon bond pricing
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
• 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
• Pulled-to-par returns for zero-coupon bonds historical simulation value at risk
• An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model
• scientific article; zbMATH DE number 6290829 (Why is no real title available?)
• Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis

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