Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model

  1. Pascucci, A.
  2. Suárez-Taboada, M.
  3. Vázquez, C.
Journal:
Mathematical Models and Methods in Applied Sciences

ISSN: 0218-2025

Year of publication: 2011

Volume: 21

Issue: 7

Pages: 1479-1498

Type: Article

DOI: 10.1142/S0218202511005465 GOOGLE SCHOLAR
Data source: Scopus