An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

An iterative method for solving a PDE with free boundary arising from pricing corporate bond with credit rating migration

In this paper an iterative method is proposed to solve a partial differential equation (PDE) with free boundary arising from pricing corporate bond with credit grade migration risk. A iterative algorithm is designed to construct two sequences of fixed internal boundary problems, which produce two we...

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Bibliographic Details
Main Authors: Zhongdi Cen, Jian Huang, Aimin Xu, Anbo Le
Format: Article
Language:English
Published: AIMS Press 2023-01-01
Series:AIMS Mathematics
Subjects:
bond value
credit rating migration
free boundary
iterative algorithm
finite difference
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023169?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2023169?viewType=HTML

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