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
Année de publication: 2021
Volumen: 43
Número: 1
Pages: B30-B54
Type: Article
Revue:
SIAM Journal on Scientific Computing