An artificial boundary method for the Hull-White model of American interest rate derivatives
- Author
- HOI YING WONG1 ; JING ZHAO2
[1] Department of Statistics, The Chinese University of Hong Kong, Shatin, N.T., Hong-Kong
[2] School of Economics and Finance, La Trobe University, WC 3086, Australia - Source
Applied mathematics and computation. 2011, Vol 217, Num 9, pp 4627-4643, 17 p ; ref : 27 ref
- CODEN
- AMHCBQ
- ISSN
- 0096-3003
- Scientific domain
- Control theory, operational research; Computer science; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Artificial boundary Early exercise feature Finite difference method Hull-White model Interest rate derivatives Singularity-separating
- Keyword (fr)
- Analyse numérique Condition aux limites Equation dérivée partielle Mathématiques appliquées Méthode différence finie Méthode numérique Problème valeur initiale Problème valeur limite Stabilité numérique Stratégie optimale Structure arborescente Taux intérêt Troncature 06Bxx 35XX 51E24 65M99 65Mxx 65N99 65Nxx Domaine borné
- Keyword (en)
- Numerical analysis Boundary condition Partial differential equation Applied mathematics Finite difference method Numerical method Initial value problem Boundary value problem Numerical stability Optimal strategy Tree structure Interest rate Truncation
- Keyword (es)
- Análisis numérico Condiciones límites Ecuación derivada parcial Matemáticas aplicadas Método diferencia finita Método numérico Problema valor inicial Problema valor limite Estabilidad numérica Estrategia optima Estructura arborescente Tasa interés Truncamiento
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02B Combinatorics. Ordered structures / 001A02B02 Order, lattices, ordered algebraic structures
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E08 Partial differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02F Geometry / 001A02F01 Geometry
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01J Partial differential equations, initial value problems and time-dependant initial-boundary value problems
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 23836058
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.amc.2010.11.015 
https://dx.doi.org/10.1016/j.amc.2010.11.015
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