Authors
Erik Ekström, Per Lötstedt, Johan Tysk
Publication date
2009/8/26
Journal
Applied Mathematical Finance
Volume
16
Issue
3
Pages
253-259
Publisher
Taylor & Francis
Description
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.
Scholar articles
E Ekström, P Lötstedt, J Tysk - Applied Mathematical Finance, 2009