AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983)
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scientific article; zbMATH DE number 7303436
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models |
scientific article; zbMATH DE number 7303436 |
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AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (English)
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29 January 2021
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SABR-LIBOR market models
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high-dimensional PDEs
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AMFR-W-methods
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finite differences
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sparse grid combination technique
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