Pricing European options on zero-coupon bonds with a fitted finite volume method

MaRDI QIDQ4597508zbMATHFDO

Authors Kai Zhang, Xiao Qi Yang

Publication date 13 December 2017

Full work available at URL http://www.math.ualberta.ca/ijnam/Volume-14-2017/No-3-17/2017-03-05.pdf

zbMATH Keywords

option pricingfinite volume methodpartial differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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(13)

• Analyzing short-rate models for efficient bond option pricing: a review
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• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
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• A computational scheme for a problem in the zero-coupon bond pricing
• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
• Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
• On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options

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