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  5. Numerical Valuation of Options on Zero-Coupon Bonds with a Fitted Finite Volume Method

Numerical Valuation of Options on Zero-Coupon Bonds with a Fitted Finite Volume Method

来源 :The 6th International Conference on Optimization and Control | 被引量 : 0次 | 上传用户：liu554802016
【摘 要】
：
　　We present a novel numerical scheme to price European options on discount bond,where the single factor models are adopted for the short interest rate.
【作 者】
：
Kai Zhang 
【机 构】
：
ShenzhenInternationalBusinessSchool
【出 处】
：
The 6th International Conference on Optimization and Control
【发表日期】
：
2015年12期
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　　We present a novel numerical scheme to price European options on discount bond,where the single factor models are adopted for the short interest rate.
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