Numerical solution of jump-diffusion LIBOR market models

• 1 January 2003
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 7  (1) , 1-27
• https://doi.org/10.1007/s007800200076

Abstract

Keywords

• MODELS
• CONVERGENCE
• MARKET
• PROCEDURES
• SOLUTION
• COMPUTATIONAL
• DISCRETIZATION
• POISSON
• JUMPS
• LIBOR