A numerical method for pricing spread options on LIBOR rates with a PDE model
DOI10.1016/J.MCM.2010.03.023zbMATH Open1205.91170OpenAlexW1996387945MaRDI QIDQ622981FDOQ622981
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)
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Cites Work
- scientific article; zbMATH DE number 1505639 (Why is no real title available?)
- 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
- The Market Model of Interest Rate Dynamics
Cited In (11)
- Pricing and risk management of interest rate swaps
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- 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
- An efficient method for solving spread option pricing problem: numerical analysis and computing
- Modeling of certain problems in financial mathematics: Spread option pricing
- Sparse grid combination technique for Hagan SABR/LIBOR market model
- ADI method of credit spread option pricing based on jump-diffusion model
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
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