Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics

DOI10.1016/J.AMC.2011.11.004zbMATH Open1239.91174OpenAlexW2019444207MaRDI QIDQ426548FDOQ426548

Authors Carlos Vázquez, M. Suárez-Taboada 

Publication date 11 June 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2011.11.004

zbMATH Keywords

finite elementsBlack-Scholes equationsinterest rate derivativeLIBOR market model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• An upwind approach for an American and European option pricing model
• Computational Methods for Option Pricing
• LIBOR and swap market models and measures
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
• Mathematical foundation of convexity correction
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
• PDE and martingale methods in option pricing.
• Some mathematical results in the pricing of American options
• The Market Model of Interest Rate Dynamics

Cited in

(11)

• A new mathematical model for pricing a mine extraction project
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
• Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
• Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
• Risk process approximation with mixing
• Mixed Poisson process with Pareto mixing variable and its risk applications
• Valuation of interest rate ceiling and floor in uncertain financial market
• An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
• A continuously differentiable upwinding scheme for the simulation of fluid flow problems

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