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.
Total citations
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