A numerical method for pricing spread options on LIBOR rates with a PDE model (Q622981)
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scientific article; zbMATH DE number 5851068
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| English | A numerical method for pricing spread options on LIBOR rates with a PDE model |
scientific article; zbMATH DE number 5851068 |
Statements
A numerical method for pricing spread options on LIBOR rates with a PDE model (English)
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13 February 2011
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spread options
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LIBOR market model
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Black-Scholes PDE
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Crank-Nicholson-Characteristics
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finite elements
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Monte Carlo simulation
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0.7883201837539673
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0.7853460907936096
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0.7743250727653503
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