AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models (Q5147983)
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scientific article; zbMATH DE number 7303436
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| English | AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models |
scientific article; zbMATH DE number 7303436 |
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AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (English)
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29 January 2021
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SABR-LIBOR market models
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high-dimensional PDEs
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AMFR-W-methods
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finite differences
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sparse grid combination technique
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0.8345783352851868
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0.8102249503135681
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0.8013379573822021
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0.7515589594841003
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0.7485080361366272
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