"AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models."

José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez (2021)

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DOI: 10.1137/20M1348595

access: closed

type: Journal Article

metadata version: 2024-07-06

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José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez:
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43(1): B30-B54 (2021)

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