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

@@ Property / author @@
-María Suárez-Taboada
@@ Property / author: María Suárez-Taboada / rank @@
-Normal rank
@@ Property / author @@
+María Suárez-Taboada
@@ Property / author: María Suárez-Taboada / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q91
@@ Property / Mathematics Subject Classification ID: 35Q91 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+N30
@@ Property / Mathematics Subject Classification ID: 65N30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6045287
@@ Property / zbMATH DE Number: 6045287 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+interest rate derivative
@@ Property / zbMATH Keywords: interest rate derivative / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+LIBOR market model
@@ Property / zbMATH Keywords: LIBOR market model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Black-Scholes equations
@@ Property / zbMATH Keywords: Black-Scholes equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite elements
@@ Property / zbMATH Keywords: finite elements / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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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 @@
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@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
+Normal rank
@@ Property / cites work @@
+Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
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+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank
@@ Property / cites work @@
+MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
+Normal rank
@@ Property / cites work @@
+Q4504336
@@ Property / cites work: Q4504336 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical foundation of convexity correction
@@ Property / cites work: Mathematical foundation of convexity correction / rank @@
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+On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
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+An upwind approach for an American and European option pricing model
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+Some mathematical results in the pricing of American options
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:426548