Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
DOI10.1080/14697688.2023.2174040zbMath1519.91287OpenAlexW4321616456MaRDI QIDQ6101076
Guangli Xu, Xiaoyang Zhuo, Olivier Menoukeu Pamen
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2023.2174040
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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