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Nail' Makuev1, Alexey Shvedov1
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

On the Evaluation of Interest Rate Derivatives by Numerical Solution of Term Structure Equation

2011. Vol. 15. No. 3. P. 374–382 [issue contents]
In this work we compare the central difference scheme and so-called mixed scheme that covers the case of dominating convection. We present an example when precision of the mixed scheme is more than ten times higher than that of central difference scheme.
Citation: Makuev N. R., Shvedov Aleksey Sergeevich (2011) Ob otsenke protsentnykh finansovykh instrumentov putem chislennogo resheniya uravneniy srochnoy struktury [On the Evaluation of Interest Rate Derivatives by Numerical Solution of Term Structure Equation] Ekonomicheskiy zhurnal VShE, 3, pp. 374-382 (in Russian)
Keywords: stochastic interest rate; term structure equation; finite difference method
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