ADI method of credit spread option pricing based on jump-diffusion model
As the main contribution of this article, we establish an option on a credit spread under a stochastic interest rate. The intense volatilities in financial markets cause interest rates to change greatly; thus, we consider a jump term in addition to a diffusion term in our interest rate model. Howeve...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ferdowsi University of Mashhad
2021-03-01
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| Series: | Iranian Journal of Numerical Analysis and Optimization |
| Subjects: | |
| Online Access: | https://ijnao.um.ac.ir/article_39605_9802545b7bf4bb1604c0ab0c9dccf299.pdf |