AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
Author:
Funder
Spanish Grant
European Union
Xunta de Galicia
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
https://epubs.siam.org/doi/pdf/10.1137/20M1348595
Reference33 articles.
1. Higher Order Sparse Grid Methods for Elliptic Partial Differential Equations with Variable Coefficients
2. Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks
3. Extrapolation of difference methods in option valuation
4. Sparse grids
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