PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425)
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scientific article; zbMATH DE number 7041075
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| English | PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique |
scientific article; zbMATH DE number 7041075 |
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PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (English)
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25 March 2019
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stochastic volatility models
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SABR/LIBOR market models
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high dimensional PDEs
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sparse grids
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combination technique
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