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math.NA2013
Positive Splitting Method for the Hull & White 2D Black-Scholes Equation
T. Chernogorova, R. Valkov
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the two-dimensional Black-Scholes equation, arising in the Hull & White model for pri…
math.NA2013
Finite Volume Difference Scheme for a Degenerate Parabolic Equation in the Zero-Coupon Bond Pricing
T. Chernogorova, R. Valkov
In this paper we solve numerically a degenerate parabolic equation with dynamical boundary conditions of zero-coupon bond pricing. First, we discuss some properties of the differen…