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

Mathematical and Computer Modelling

Volumn 52, Issue 7-8, 2010, Pages 1074-1080

  Suarez Taboada M ^a   Vazquez C ^a  

^a UNIVERSITY OF A CORUÑA   (Spain)

Author keywords

Black Scholes PDE; Crank Nicholson characteristics; Finite elements; LIBOR Market Model; Monte Carlo simulation; Spread options

Indexed keywords

BLACK-SCHOLES PDE; FINITE ELEMENT; LIBOR MARKET MODELS; MONTE CARLO SIMULATION; NICHOLSON; SPREAD OPTION;

AIRCRAFT ENGINES; COMMERCE; COMPUTER SIMULATION; COSTS; ECONOMICS; FINITE ELEMENT METHOD; MONTE CARLO METHODS; NUMBER THEORY; NUMERICAL METHODS;

MATHEMATICAL MODELS;

EID: 77955665511     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mcm.2010.03.023     Document Type: Article

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