A numerical method for pricing spread options on LIBOR rates with a PDE model
DOI10.1016/J.MCM.2010.03.023zbMATH Open1205.91170OpenAlexW1996387945MaRDI QIDQ622981FDOQ622981
Authors: Carlos Vázquez, M. Suárez-Taboada 
Publication date: 13 February 2011
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2010.03.023
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Monte Carlo simulationfinite elementsspread optionsLIBOR market modelBlack-Scholes PDECrank-Nicholson-Characteristics
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- The Market Model of Interest Rate Dynamics
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- 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?)
Cited In (6)
- Pricing and risk management of interest rate swaps
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
- Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Modeling of certain problems in financial mathematics: Spread option pricing
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