| Autor: |
Judoonundun, K. O., Peer, A. A. I., Sunhaloo, M. S., Saib, A. A. E. F., Bhuruth, M. |
| Předmět: |
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| Zdroj: |
Palestine Journal of Mathematics; 2016 Special Issue, Vol. 5, p218-227, 10p |
| Abstrakt: |
In the present work, we propose a new method to numerically approximate partial differential equations of bond pricing problems. Existing finite difference schemes are not always accurate at boundaries since the partial differential equation degenerates into hyperbolic. Furthermore, a different method is required for each bond pricing problem. Our proposed method is a new central black box finite volume scheme to solve bond pricing problems. It is a predictor corrector technique that uses cell averages. We first predict point values from nonoscillatory piecewise-linear reconstruction of cell averages. During the corrector step, we make use of the staggered averaging along with the predicted mid values to realise the evolution of these averages. Finally, numerical experiments are presented for illustrating the performance of our scheme for different bond pricing problems. We also show that approximations are bounded by their initial conditions. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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