11 citations
2 papers
q-fin.PR2009
On the valuation of compositions in Lévy term structure models
Wolfgang Kluge, Antonis Papapantoleon
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier t…
math.OC2006★ 11 cited
On finite-difference approximations for normalized Bellman equations
István Gyöngy, David Šiška
A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding n…