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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-01-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023169?viewType=HTML |