A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
DOI10.1016/j.nahs.2006.09.003zbMath1314.91234OpenAlexW2086457111MaRDI QIDQ1003544
Francesco Zirilli, Graziella Pacelli, Luca Vincenzo Ballestra
Publication date: 4 March 2009
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nahs.2006.09.003
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical solutions to stochastic differential and integral equations (65C30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84)
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