A robust spectral method for pricing of American put options on zero-coupon bonds

Simple item page
dc.contributor.authorPindza, Edson
dc.contributor.authorPatidar, Kailash C.
dc.date.accessioned2023-02-09T07:43:48Z
dc.date.available2023-02-09T07:43:48Z
dc.date.issued2018
dc.description.abstractAmerican put options on a zero-coupon bond problem is reformulated as a linear complementarity problem of the option value and approximated by a nonlinear partial differential equation. The equation is solved by an exponential time differencing method combined with a barycentric Legendre interpolation and the Krylov projection algorithm. Numerical examples shows the stability and good accuracy of the method. A bond is a financial instrument which allows an investor to loan money to an entity (a corporate or governmental) that borrows the funds for a period of time at a fixed interest rate (the coupon) and agrees to pay a fixed amount (the principal) to the investor at maturity. A zero-coupon bond is a bond that makes no periodic interest payments.en_US
dc.identifier.citationPindza, E., & Patidar, K. C. (2018). A robust spectral method for pricing of American put options on zero-coupon bonds. East Asian Journal on Applied Mathematics, 8(1), 126-138. 10.4208/eajam.170516.201017aen_US
dc.identifier.issn2079-7370
dc.identifier.uri10.4208/eajam.170516.201017a
dc.identifier.urihttp://hdl.handle.net/10566/8387
dc.language.isoenen_US
dc.publisherGlobal-Science Pressen_US
dc.subjectMathematicsen_US
dc.subjectApplied Mathematicsen_US
dc.subjectGreeksen_US
dc.subjectFinanceen_US
dc.titleA robust spectral method for pricing of American put options on zero-coupon bondsen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
pindza_a robust spectral method_2018.pdf
Size:
265.87 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Research Articles (Mathematics)