Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548)
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scientific article; zbMATH DE number 6045287
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics |
scientific article; zbMATH DE number 6045287 |
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Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (English)
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11 June 2012
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interest rate derivative
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LIBOR market model
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Black-Scholes equations
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finite elements
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