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- W137682847 abstract "AbstractA degenerate parabolic equation in the zero-coupon bond pricing (ZCBP) is studied. First, we analyze the time discretization of the equation. Involving weighted Sobolev spaces, we develop a variational analysis to describe qualitative properties of the solution. On each time-level we formulate a Petrov-Galerkin FEM, in which each of the basis functions of the trial space is determined by the finite volume difference scheme in [2, 3]. Using this formulation, we establish the stability of the method with respect to a discrete energy norm and show that the error of the numerical solution in the energy norm is O(h), where h denotes the mesh parameter.KeywordsStochastic VolatilityBond PriceStochastic Volatility ModelWeighted Sobolev SpaceDegenerate Parabolic EquationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
- W137682847 created "2016-06-24" @default.
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- W137682847 date "2012-01-01" @default.
- W137682847 modified "2023-09-25" @default.
- W137682847 title "Petrov-Galerkin Analysis for a Degenerate Parabolic Equation in Zero-Coupon Bond Pricing" @default.
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- W137682847 doi "https://doi.org/10.1007/978-3-642-29843-1_75" @default.
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