Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration

Kandilarov, Juri D.; Vulkov, Lubin G.

doi:10.1007/978-3-030-10692-8_47

Numerical Methods and Applications

2019

DOI: 10.1007/978-3-030-10692-8_47

|View full text |Cite

Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration

Juri D. Kandilarov

Lubin G. Vulkov

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2022

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 13 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

Cen¹,

Huang²,

Xu³

et al. 2022

MATH

View full text Add to dashboard Cite

<abstract><p>In this paper an iterative method is proposed to solve a partial differential equation (PDE) with free boundary arising from pricing corporate bond with credit grade migration risk. A iterative algorithm is designed to construct two sequences of fixed internal boundary problems, which produce two weak solution sequences. It is proved that both weak solution sequences are convergent. In each iteration step, an implicit-upwind difference scheme is used to solve the fixed internal boundary problem. It is shown that the scheme is stable and first-order convergent. Numerical experiments verify that the limit of the weak solution sequence is the solution of the free boundary problem. This method simplifies the free boundary problem solving, ensures the stability of the discrete scheme and reduces the amount of calculation.</p></abstract>

show abstract

An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

Cen¹,

Huang²,

Xu³

et al. 2022

MATH

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration

Cited by 1 publication

References 13 publications

An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

Contact Info

Product

Resources

About