Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics

DOI10.1016/j.amc.2011.11.004zbMath1239.91174OpenAlexW2019444207MaRDI QIDQ426548

Carlos Vázquez, María Suárez-Taboada

Publication date: 11 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.004

zbMATH Keywords

finite elementsBlack-Scholes equationsinterest rate derivativeLIBOR market model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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