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Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model

  • Published:2023-02-23 Issue:5 Volume:23 Page:843-862
  • ISSN:1469-7688
  • Container-title:Quantitative Finance
  • language:en
  • Short-container-title:Quantitative Finance

Author:

Menoukeu-Pamen Olivier12ORCID,Xu Guangli3,Zhuo Xiaoyang4ORCID

Affiliation:

1. Institute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, Liverpool, UK

2. African Institute for Mathematical Sciences, Accra, Ghana

3. School of Statistics, University of International Business and Economics, Beijing, People's Republic of China

4. School of Management and Economics, Beijing Institute of Technology, Beijing, People's Republic of China

Funder

National Natural Science Foundation of China

Alexander von Humboldt Foundation

Beijing Institute of Technology Research Fund Program for Young Scholars

Excellent Young Scholars Program in the University of International Business and Economics

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance
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