A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option

DOI10.1016/J.CAM.2015.10.025zbMATH Open1329.91146OpenAlexW2413409321MaRDI QIDQ896802FDOQ896802

Allan Jonathan da Silva, José Valentim Machado Vicente, J. Baczynski

Publication date: 14 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.025

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zbMATH Keywords

PDEfinite difference methodscomputational financeoption pricing and hedginginterest rates derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited In (2)

• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES
• Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives

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