Pricing European Options on Zero-Coupon Bonds with a Fitted Finite Volume Method.
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@Article{IJNAM-14-405,
author = {Kai Zhang and Xiao Qi Yang},
title = {Pricing European Options on Zero-Coupon Bonds with a Fitted Finite Volume Method.},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2017},
volume = {14},
number = {3},
pages = {405--418},
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.},
issn = {2617-8710},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnam/10014.html}
}
TY - JOUR
T1 - Pricing European Options on Zero-Coupon Bonds with a Fitted Finite Volume Method.
AU - Kai Zhang & Xiao Qi Yang
JO - International Journal of Numerical Analysis and Modeling
VL - 3
SP - 405
EP - 418
PY - 2017
DA - 2017/06
SN - 14
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnam/10014.html
KW - Option pricing
KW - finite volume method
KW - partial differential equation
AB - 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.
Kai Zhang & Xiao Qi Yang. (1970). Pricing European Options on Zero-Coupon Bonds with a Fitted Finite Volume Method..
International Journal of Numerical Analysis and Modeling. 14 (3).
405-418.
doi:
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