Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

Erik Ekstrom, Per Lotstedt and Johan Tysk

Applied Mathematical Finance, 2009, vol. 16, issue 3, 253-259

Abstract: We study the classical single factor term structure equation for models that predict non-negative interest rates. For these models we develop a fast and accurate finite difference method (FD) using the appropriate boundary conditions at zero.

Keywords: Term structure equation; degenerate parabolic equations; stochastic representation; finite difference method (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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DOI: 10.1080/13504860802584004

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