Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model (Q3087880)
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scientific article; zbMATH DE number 5939942
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| English | Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model |
scientific article; zbMATH DE number 5939942 |
Statements
MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL (English)
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17 August 2011
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interest rate derivatives
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Black-Scholes equations
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sequence of nested Cauchy problems
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0.8530542254447937
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0.7650116682052612
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0.722997784614563
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0.720236599445343
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