A numerical method for pricing spread options on LIBOR rates with a PDE model

  1. Suárez-Taboada, M.
  2. Vázquez, C.
Journal:
Mathematical and Computer Modelling

ISSN: 0895-7177

Year of publication: 2010

Volume: 52

Issue: 7-8

Pages: 1074-1080

Type: Article

DOI: 10.1016/J.MCM.2010.03.023 GOOGLE SCHOLAR lock_openOpen access editor
Data source: Scopus