Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548): Difference between revisions

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-María Suárez-Taboada
@@ Property / author: María Suárez-Taboada / rank @@
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-Carlos Vázquez
@@ Property / author: Carlos Vázquez / rank @@
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@@ Property / author @@
+María Suárez-Taboada
@@ Property / author: María Suárez-Taboada / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2011.11.004
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@@ Property / OpenAlex ID @@
+W2019444207
@@ Property / OpenAlex ID: W2019444207 / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
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+Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
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+Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
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+Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
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+MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
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