Pricing European options on zero-coupon bonds with a fitted finite volume method
From MaRDI portal
Publication:4597508
zbMATH Open1411.91630MaRDI QIDQ4597508FDOQ4597508
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
Recommendations
- Numerical pricing of American put options on zero-coupon bonds.
- scientific article; zbMATH DE number 6746630
- Finite volume element method for pricing European option
- Pricing American interest rate option on zero-coupon bond numerically
- Evaluating American put options on zero-coupon bonds by a penalty method
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)
Cited In (11)
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
- A priori and a posteriori estimates of stabilized mixed finite volume methods for the incompressible flow arising in arteriosclerosis
- Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A computational scheme for a problem in the zero-coupon bond pricing
- Analyzing short-rate models for efficient bond option pricing: a review
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
This page was built for publication: Pricing European options on zero-coupon bonds with a fitted finite volume method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4597508)
