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摘要
En 中文
We present an spectral numerical method for the numerical valuation of bonds with embedded options. We use a CIR model for the short-term interest rate. The method is based on a Galerkin formulation of the partial differential equation for the value of the bond, discretized by means of orthogonal Laguerre polynomials. The method is shown to be very efficient, with a high precision for the type of problems treated here and is easy to use with more general models with nonconstant coefficients. As a consequence, it can be a possible altemative to other approaches employed in practice, specially when a calibration of the parameters of the model is needed to match the observed market data. (C) 2006 Elsevier Ltd. All rights reserved.
Keyword:
bonds
embedded options
spectral methods
laguerre polynomials
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C
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4.3
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6.5K
被引数:
1.8W
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