Solutions of two-factor models with variable interest rates
نویسندگان
چکیده
منابع مشابه
Solutions of Two-Factor Models With Variable Interest Rates
The focus of this work is on numerical solutions to two-factor option pricing partial differential equations with variable interest rates. Two interest rate models, the Vasicek model and the Cox-Ingersoll-Ross model (CIR), are considered. Emphasis is placed on the definition and implementation of boundary conditions for different portfolio models, and on appropriate truncation of the computatio...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.10.014