Amfr-w numerical methods for solving high-dimensional sabr/libor pde models
- LÓPEZ-SALAS, J.G.
- PÉREZ-RODRÍGUEZ, S.
- VÁZQUEZ, C.
ISSN: 1095-7197, 1064-8275
Year of publication: 2021
Volume: 43
Issue: 1
Pages: B30-B54
Type: Article
Journal:
SIAM Journal on Scientific Computing