MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL

DOI10.1142/S0218202511005465zbMath1222.91061MaRDI QIDQ3087880

Carlos Vázquez, María Suárez-Taboada, Andrea Pascucci

Publication date: 17 August 2011

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes equationsinterest rate derivativessequence of nested Cauchy problems

Mathematics Subject Classification ID

Fundamental solutions to PDEs (35A08) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Theoretical approximation in context of PDEs (35A35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Initial value problems for second-order parabolic equations (35K15)

Related Items (5)

Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics ⋮ A general Gaussian interest rate model consistent with the current term structure ⋮ Valuation of European continuous-installment options ⋮ A new mathematical model for pricing a mine extraction project ⋮ Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

Cites Work

• Unnamed Item
• An upwind approach for an American and European option pricing model
• LIBOR and swap market models and measures
• On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• On the complete model with stochastic volatility by Hobson and Rogers
• The Market Model of Interest Rate Dynamics
• 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
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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