Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

We study the classical single factor term structure equation for models that predict non-negative interest rates. For these models we develop a fast and accurate finite difference method (FD) using the appropriate boundary conditions at zero.

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Year of publication:	2009
Authors:	Ekstrom, Erik ; Lotstedt, Per ; Tysk, Johan
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 3, p. 253-259
Publisher:	Taylor & Francis Journals
Subject:	Term structure equation \| degenerate parabolic equations \| stochastic representation \| finite difference method

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966847