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

M. Suárez-Taboada, Carlos Vázquez (2010)

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DOI: 10.1016/J.MCM.2010.03.023

access: open

type: Journal Article

metadata version: 2021-02-17

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M. Suárez-Taboada, Carlos Vázquez:
A numerical method for pricing spread options on LIBOR rates with a PDE model. Math. Comput. Model. 52(7-8): 1074-1080 (2010)

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