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"AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models."
José G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez (2021)
- José G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez:
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43(1): B30-B54 (2021)
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