کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069728 | 1373198 | 2011 | 7 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Fast approximations of bond option prices under CKLS models Fast approximations of bond option prices under CKLS models](/preview/png/5069728.png)
A new computational method for approximating prices of zero-coupon bonds and bond option prices under general Chan-Karolyi-Longstaff-Schwartz models is proposed. The pricing partial differential equations are discretized using second-order finite difference approximations and an exponential time integration scheme combined with best rational approximations based on the Carathéodory-Fejér procedure is employed for solving the resulting semi-discrete equations. The algorithm has a linear computational complexity and provides accurate bond and European bond option prices. We give several numerical results which illustrate the computational efficiency of the algorithm and uniform second-order convergence rates for the computed bond and bond option prices.
Journal: Finance Research Letters - Volume 8, Issue 4, December 2011, Pages 206-212