PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

  1. López-Salas, J.G.
  2. Vázquez, C.
Journal:
Computers and Mathematics with Applications

ISSN: 0898-1221

Year of publication: 2018

Volume: 75

Issue: 5

Pages: 1616-1634

Type: Article

DOI: 10.1016/J.CAMWA.2017.11.024 GOOGLE SCHOLAR
Data source: Scopus