An artificial boundary method for the Hull-White model of American interest rate derivatives
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Publication:621011
DOI10.1016/j.amc.2010.11.015zbMath1237.91235MaRDI QIDQ621011
Publication date: 2 February 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.11.015
finite difference method; artificial boundary; Hull-White model; interest rate derivatives; early exercise feature; singularity-separating
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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