On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options

DOI10.1155/2020/1052084MaRDI QIDQ6534640zbMATH OpenFDO

Authors Xiao-Ting Gan, Dengguo Xu

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/1052084

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• A theory of the term structure of interest rates
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• Pricing American interest rate option on zero-coupon bond numerically
• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• Pricing European options on zero-coupon bonds with a fitted finite volume method
• Quadratic convergence for valuing American options using a penalty method
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
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Cited in

(1)

• Analyzing short-rate models for efficient bond option pricing: a review

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