A spectral method for bonds

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2008 English Publisher:Elsevier BVJournal:Computers & Operations Research, volume 35, pages 64-75 (issn: 0305-0548,

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Authors: Javier de Frutos;

doi: 10.1016/j.cor.2006.02.014

A spectral method for bonds

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Abstract

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Related Organizations

University of Valladolid
Spain

Keywords

bonds, embedded options, Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), spectral methods, Laguerre polynomials, Spectral, collocation and related methods for boundary value problems involving PDEs

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