Barone-Adesi, Giovanni; Allegretto, Walter; Sorwar, Ghulam - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
The CKLS (1992) short-term risk-free interest rate process leads to valuation model for both default free bonds and contingent claims that can only be solved numerically for the general case. Valuation equations of this nature in the past have been solved using the Crank Nicolson scheme. In this...