Numerical methods for pricing callable bonds.

Yann d'Halluin Peter A. Forsyth Kenneth R. Vetzal George Labahn

Published in: CIFEr (2000)

Keyphrases

numerical methods
black scholes
differential equations
partial differential equations
finite element method
level set method
option pricing
numerical solution
pattern recognition
linear algebra
finite difference method
image analysis
dynamic pricing
saddle point
runge kutta
semi implicit