"PDE formulation of some SABR/LIBOR market models and its numerical ..."

José G. López-Salas, Carlos Vázquez (2018)

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DOI: 10.1016/J.CAMWA.2017.11.024

access: closed

type: Journal Article

metadata version: 2020-02-17

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José G. López-Salas, Carlos Vázquez:
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. 75(5): 1616-1634 (2018)

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