A numerical method for pricing spread options on LIBOR rates with a PDE model

DOI10.1016/J.MCM.2010.03.023zbMath1205.91170OpenAlexW1996387945MaRDI QIDQ622981

Carlos Vázquez, María Suárez-Taboada

Publication date: 13 February 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.03.023

zbMATH Keywords

finite elementsMonte Carlo simulationspread optionsLIBOR market modelBlack-Scholes PDECrank-Nicholson-Characteristics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) 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)

Related Items (1)

Pricing and risk management of interest rate swaps

Cites Work

• Unnamed Item
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• 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

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