We investigate the performances of the finite element method in solving the Black–Scholes
option pricing model. Such an analysis highlights that, if the finite element method is carried …

A new efficient numerical method is proposed for valuation of American option on zero‐
coupon bond using Hull and White model. By applying the front‐fixing transformation …

The main goal of this paper is to propose a novel numerical algorithm to price American
options on bonds. For this purpose, we illustrate the performance of this method by means of …

Purpose This paper develops new fast and accurate computational schemes for pricing
European and American bond options under generalised Chan-Karoyli-Longstaff-Sanders …

We study a novel implementation of the explicit and the implicit Crank-Nicolson (CN)
numerical schemes for solving time-dependent Parabolic Partial Differential Equations …

▶ Fama and French (1989) examine default srpead (all corporates-Aaa bonds) and term
spread (Aaa yield-T-bill rate). Default spreads widen from 0.5%(late 1920s) to over 3%(1932 …

In this thesis, we study the issue of pricing discretely-sampled variance swaps under
stochastic volatility and stochastic interest rate. In particular, our modeling framework …

We examine corporate bond spreads from 1927 to 1940 (a period dominated by the Great
Depression). In spite of major tax reforms, tax spreads remained small. This was due to …

US railroads received loans from the Reconstruction Finance Corporation starting in
February 1932, at below-market rates, primarily to meet interest and principal repayments on …

This paper extends the generalized procedure for building trees for short rates by Hull &
White. A generalization for any mean and standard deviation of the underlying short rate …