Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing-Reference-Cited by-同舟云学术

Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing

Published:2011-12 Issue:11-12 Volume:54 Page:2659-2671
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Chernogorova T.,Valkov R.

Funder

Sofia University Foundation

Publisher

Elsevier BV

Subject

Computer Science Applications,Modelling and Simulation

Reference19 articles.

1. Computational Methods for Option Pricing;Achdou,2005

2. R. Behbondi, J.-L. Zhu, Existence and regularity of weak solutions of degenerate parabolic PDE models for the pricing of security derivatives, Working Paper, UNCC, 2009.

3. A fitted finite volume method for the valuation of options on assets with stochastic volatilities;Huang;Computing,2006

4. Tools for Computational Finance;Seydel,2003

5. Z.Z. Sun, N.-N. Yan, Y.-L. Zhou, Convergence of second order difference scheme and extrapolation algorithm for degenerate parabolic equations, Working Paper, UNCC, 2001.

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