Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/76561
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | - |
dc.creator | Zhang, K | - |
dc.creator | Yang, XQ | - |
dc.date.accessioned | 2018-05-10T02:56:12Z | - |
dc.date.available | 2018-05-10T02:56:12Z | - |
dc.identifier.uri | http://hdl.handle.net/10397/76561 | - |
dc.language.iso | en | en_US |
dc.publisher | Institute for Scientific Computing and Information | en_US |
dc.rights | © 2017 Institute for Scientific Computing and Information | en_US |
dc.rights | Posted with permission of the publisher. | en_US |
dc.rights | The following publication Zhang, K., & Yang, X. Q. (2017). Pricing European options on zero-coupon bonds with a fitted finite volume method. International Journal of Numerical Analysis and Modeling, 14(3), 405-418 is available at http://www.math.ualberta.ca/ijnam/Volume14.htm | en_US |
dc.subject | Option pricing | en_US |
dc.subject | Finite volume method | en_US |
dc.subject | Partial differential equation | en_US |
dc.title | Pricing European options on zero-coupon bonds with a fitted finite volume method | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 405 | en_US |
dc.identifier.epage | 418 | en_US |
dc.identifier.volume | 14 | en_US |
dc.identifier.issue | 3 | en_US |
dcterms.abstract | We present a novel numerical scheme to price European options on discount bond, where the single factor models are adopted for the short interest rate. This method is based on a fitted finite volume (FFVM) scheme for the spatial discretization and an implicit scheme for the time discretization. We show that this scheme is consistent, stable and monotone, hence it ensures the convergence to the solution of continuous problem. Numerical experiments are performed to verify the effectiveness and usefulness of this new method. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | International journal of numerical analysis and modeling, 2017, v. 14, no. 3, p. 405-418 | - |
dcterms.isPartOf | International journal of numerical analysis and modeling | - |
dcterms.issued | 2017 | - |
dc.identifier.isi | WOS:000403800900005 | - |
dc.identifier.scopus | 2-s2.0-85019577169 | - |
dc.identifier.ros | 2017002367 | - |
dc.identifier.eissn | 1705-5105 | en_US |
dc.identifier.rosgroupid | 2017002292 | - |
dc.description.ros | 2017-2018 > Academic research: refereed > Publication in refereed journal | en_US |
dc.description.validate | 201805 bcrc | en_US |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | a0314-n01 | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
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2017IJNAM_Zhang_Y.pdf | 695.38 kB | Adobe PDF | View/Open |
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