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
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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)
Cites Work
- PDE and martingale methods in option pricing.
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Some mathematical results in the pricing of American options
- Computational Methods for Option Pricing
- 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
- Title not available (Why is that?)
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- An upwind approach for an American and European option pricing model
- 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
Cited In (11)
- Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
- 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)
- A new mathematical model for pricing a mine extraction project
- Mixed Poisson process with Pareto mixing variable and its risk applications
- Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
- A continuously differentiable upwinding scheme for the simulation of fluid flow problems
- Risk process approximation with mixing
- Valuation of interest rate ceiling and floor in uncertain financial market
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