A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
DOI10.1016/J.NAHS.2006.09.003zbMATH Open1314.91234OpenAlexW2086457111MaRDI QIDQ1003544FDOQ1003544
Authors: Luca Vincenzo Ballestra, Graziella Pacelli, Francesco Zirilli 
Publication date: 4 March 2009
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nahs.2006.09.003
Recommendations
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
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Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Higher-order implicit strong numerical schemes for stochastic differential equations
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- Volatility skews and extensions of the Libor market model
- Stochastic Volatility Model with Time‐dependent Skew
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- The LIBOR model dynamics: Approximations, calibration and diagnostics
- Interest rate models -- theory and practice
- Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
- Arbitrage-free discretization of lognormal forward Libor and swap rate models
Cited In (9)
- Accelerating pathwise Greeks in the LIBOR market model
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- A numerical method for pricing spread options on LIBOR rates with a PDE model
- A new parameterization for the drift-free simulation in the Libor market model
- A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
- Numerical solution of jump-diffusion LIBOR market models
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Sparse grid combination technique for Hagan SABR/LIBOR market model
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
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