Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548)
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scientific article; zbMATH DE number 6045287
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| English | Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics |
scientific article; zbMATH DE number 6045287 |
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Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (English)
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11 June 2012
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interest rate derivative
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LIBOR market model
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Black-Scholes equations
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finite elements
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0.8530542254447937
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0.7883201837539673
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0.751378059387207
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0.7464070916175842
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0.735638439655304
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