MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL

DOI10.1142/S0218202511005465zbMath1222.91061MaRDI QIDQ3087880

Carlos Vázquez, María Suárez-Taboada, Andrea Pascucci

Publication date: 17 August 2011

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes equations; interest rate derivatives; sequence of nested Cauchy problems

Mathematics Subject Classification ID

35A08: Fundamental solutions to PDEs

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

35A35: Theoretical approximation in context of PDEs

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

65M25: Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs

35K15: Initial value problems for second-order parabolic equations

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Cites Work

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