An algorithm for solving bond pricing problem

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dc.contributor.author Dibeh, Ghassan
dc.contributor.author Deeba, Elias
dc.contributor.author Xiea, Shishen
dc.date.accessioned 2016-05-17T08:12:33Z
dc.date.available 2016-05-17T08:12:33Z
dc.date.copyright 2002 en_US
dc.date.issued 2016-05-17
dc.identifier.issn 0096-3003 en_US
dc.identifier.uri http://hdl.handle.net/10725/3817 en_US
dc.description.abstract The nonlinear bond pricing problem has been extensively studied in the literature. Since an analytical solution is not readily available, we will seek to find an approximate solution. We will present a decomposition method, due to Adomian, and show how to obtain a reasonable numerical solution to the bond pricing problem. en_US
dc.language.iso en en_US
dc.title An algorithm for solving bond pricing problem en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 199490150 en_US
dc.author.department Department of Economics (ECON) en_US
dc.description.embargo N/A en_US
dc.relation.journal Applied Mathematics and Computation en_US
dc.journal.volume 128 en_US
dc.journal.issue 1 en_US
dc.article.pages 81-94 en_US
dc.keywords Bond pricing en_US
dc.keywords Adomian's method en_US
dc.keywords Stochastic differential equations en_US
dc.identifier.doi http://dx.doi.org/10.1016/S0096-3003(01)00027-3 en_US
dc.identifier.ctation Deeba, E., Dibeh, G., & Xie, S. (2002). An algorithm for solving bond pricing problem. Applied mathematics and computation, 128(1), 81-94. en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S0096300301000273 en_US

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