A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
DOI10.1007/S11075-011-9505-2zbMATH Open1235.91172OpenAlexW2152725562MaRDI QIDQ411529FDOQ411529
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
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Cites Work
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Interest rate models -- theory and practice. With smile, inflation and credit
- Mathematical models of financial derivatives
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A computational scheme for a problem in the zero-coupon bond pricing
- Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
- Title not available (Why is that?)
- Boundary conditions for the single-factor term structure equation
Cited In (11)
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- 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
- An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model
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- Pulled-to-par returns for zero-coupon bonds historical simulation value at risk
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