dc.contributor.author | Pindza, Edson | |
dc.contributor.author | Patidar, Kailash C. | |
dc.date.accessioned | 2023-02-09T07:43:48Z | |
dc.date.available | 2023-02-09T07:43:48Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Pindza, E., & Patidar, K. C. (2018). A robust spectral method for pricing of American put options on zero-coupon bonds. East Asian Journal on Applied Mathematics, 8(1), 126-138. 10.4208/eajam.170516.201017a | en_US |
dc.identifier.issn | 2079-7370 | |
dc.identifier.uri | 10.4208/eajam.170516.201017a | |
dc.identifier.uri | http://hdl.handle.net/10566/8387 | |
dc.description.abstract | American put options on a zero-coupon bond problem is reformulated as a
linear complementarity problem of the option value and approximated by a nonlinear
partial differential equation. The equation is solved by an exponential time differencing
method combined with a barycentric Legendre interpolation and the Krylov projection
algorithm. Numerical examples shows the stability and good accuracy of the method. A bond is a financial instrument which allows an investor to loan money to an entity
(a corporate or governmental) that borrows the funds for a period of time at a fixed interest rate (the coupon) and agrees to pay a fixed amount (the principal) to the investor
at maturity. A zero-coupon bond is a bond that makes no periodic interest payments. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Global-Science Press | en_US |
dc.subject | Mathematics | en_US |
dc.subject | Applied Mathematics | en_US |
dc.subject | Greeks | en_US |
dc.subject | Finance | en_US |
dc.title | A robust spectral method for pricing of American put options on zero-coupon bonds | en_US |
dc.type | Article | en_US |