Superconvergence of the finite element solutions of the Black–Scholes equation
A Golbabai, LV Ballestra, D Ahmadian - Finance Research Letters, 2013 - Elsevier
We investigate the performances of the finite element method in solving the Black–Scholes
option pricing model. Such an analysis highlights that, if the finite element method is carried …
option pricing model. Such an analysis highlights that, if the finite element method is carried …
A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
R Company, VN Egorova, L Jódar… - … Methods in the Applied …, 2022 - Wiley Online Library
A new efficient numerical method is proposed for valuation of American option on zero‐
coupon bond using Hull and White model. By applying the front‐fixing transformation …
coupon bond using Hull and White model. By applying the front‐fixing transformation …
[HTML][HTML] A direct LU solver for pricing American bond options under Hull–White model
The main goal of this paper is to propose a novel numerical algorithm to price American
options on bonds. For this purpose, we illustrate the performance of this method by means of …
options on bonds. For this purpose, we illustrate the performance of this method by means of …
[HTML][HTML] Numerical pricing of financial derivatives using Jain's high-order compact scheme
Purpose This paper develops new fast and accurate computational schemes for pricing
European and American bond options under generalised Chan-Karoyli-Longstaff-Sanders …
European and American bond options under generalised Chan-Karoyli-Longstaff-Sanders …
Finite difference methods for Hull-White pricing of interest rate derivatives with dynamical consistent curves
We study a novel implementation of the explicit and the implicit Crank-Nicolson (CN)
numerical schemes for solving time-dependent Parabolic Partial Differential Equations …
numerical schemes for solving time-dependent Parabolic Partial Differential Equations …
[PDF][PDF] US Bond Markets and Credit Spreads during the Great Depression
T Daglish - 2012 - ir.wgtn.ac.nz
▶ Fama and French (1989) examine default srpead (all corporates-Aaa bonds) and term
spread (Aaa yield-T-bill rate). Default spreads widen from 0.5%(late 1920s) to over 3%(1932 …
spread (Aaa yield-T-bill rate). Default spreads widen from 0.5%(late 1920s) to over 3%(1932 …
Pricing variance swaps under stochastic volatility and stochastic interest rate
TRN Roslan - 2016 - openrepository.aut.ac.nz
In this thesis, we study the issue of pricing discretely-sampled variance swaps under
stochastic volatility and stochastic interest rate. In particular, our modeling framework …
stochastic volatility and stochastic interest rate. In particular, our modeling framework …
[PDF][PDF] Tax, Credit, and Liquidity: Corporate Bond Spreads 1927-1940
T Daglish - 2020 - nzfc.ac.nz
We examine corporate bond spreads from 1927 to 1940 (a period dominated by the Great
Depression). In spite of major tax reforms, tax spreads remained small. This was due to …
Depression). In spite of major tax reforms, tax spreads remained small. This was due to …
[PDF][PDF] Railroad Bailouts in the Great Depression
T Daglish, L Moore - 2018 - pseweb.eu
US railroads received loans from the Reconstruction Finance Corporation starting in
February 1932, at below-market rates, primarily to meet interest and principal repayments on …
February 1932, at below-market rates, primarily to meet interest and principal repayments on …
[PDF][PDF] Review of Lattice Construction Methods-Generalizing Hull & White
ABN AMRO - 2015 - uglyduckling.nl
This paper extends the generalized procedure for building trees for short rates by Hull &
White. A generalization for any mean and standard deviation of the underlying short rate …
White. A generalization for any mean and standard deviation of the underlying short rate …