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.
Revista:
Computers and Mathematics with Applications

ISSN: 0898-1221

Ano de publicación: 2018

Volume: 75

Número: 5

Páxinas: 1616-1634

Tipo: Artigo

DOI: 10.1016/J.CAMWA.2017.11.024 GOOGLE SCHOLAR
Fonte de datos: Scopus