PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

DOI10.1016/j.camwa.2017.11.024zbMath1409.91277OpenAlexW2781240167MaRDI QIDQ1732425

Carlos Vázquez, José G. López-Salas

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.11.024

zbMATH Keywords

sparse gridscombination techniquestochastic volatility modelsSABR/LIBOR market modelshigh dimensional PDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Related Items

High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives, Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework, Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model, AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model, AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models, Total value adjustment for European options in a multi-currency setting, Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources, AMF-type W-methods for Parabolic Problems with Mixed Derivatives

Uses Software

• CUDA

Cites Work

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