Exercise 24.4.3 Describe an implicit method for term structure equation (24.14). You may simplify the short rate

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Exercise 24.4.3 Describe an implicit method for term structure equation (24.14).

You may simplify the short rate process to dr = μ(r ) dt +σ(r )dW. Assume that

μ(r ) ≥ 0 and σ(0) = 0 to avoid negative short rates.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 01:01 PM

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Exercise 24.4.3 Describe an implicit method for term structure equation (24.14). You may simplify the short rate

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Financial Engineering And Computation Principles Mathematics Algorithms

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