• Title of article

    Analytical and numerical solutions for the pricing of a combination of two financial derivatives in a market under Hull-White model

  • Author/Authors

    Sahebi Fard, Hossein Faculty of mathematical sciences - Shahrood University of Technology - Shahrood, Semnan, Iran , Dastranj, Elham Faculty of mathematical sciences - Shahrood University of Technology - Shahrood, Semnan, Iran , Abdolbaghi Ataabadi, Abdolmajid Faculty of mathematical sciences - Shahrood University of Technology - Shahrood, Semnan, Iran

  • Pages
    11
  • From page
    1013
  • To page
    1023
  • Abstract
    In this paper a combination of two financial derivatives in financial markets modelled of future interest rates is presented and evaluated. In fact European option pricing is driven when zero-coupon bond is considered as underlying asset in a market under Hull-White model. For this purpose, the exact solutions of the valuation of this bond option are driven, using Lie group symmetries method. Then in the next part, the finite difference method is applied to find numerical solutions for assumed bond option pricing. Then the significance and usefulness of this approximated method is comparing with the exact solutions by some plotted graphs.
  • Keywords
    zero-coupon bondoption , Hull-White model , parabolic differential equation
  • Journal title
    Advances in Mathematical Finance and Applications
  • Serial Year
    2022
  • Record number

    2724937