English, Article edition: Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation Erik Ekstrom; Per Lotstedt; Johan Tysk

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
Author
  • Erik Ekstrom
  • Per Lotstedt
  • Johan Tysk
Physical Description
  • article
Notes
  • 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.
  • Term structure equation, degenerate parabolic equations, stochastic representation, finite difference method,
  • RePEc:taf:apmtfi:v:16:y:2009:i:3:p:253-259
Language
  • English
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