Numerical Methods for the Levy LIBOR Model

被引：0

作者：

Papapantoleon, Antonis ^{[1
,2
]}

Skovmand, David ^{[3
]}

机构：

[1] TU Berlin, Inst Math, Str 17 Juni 136, D-10623 Berlin, Germany

[2] Deutsch Bank AG, Quantitat Prod Lab, D-10178 Berlin, Germany

[3] Aarhus Univ, Aarhus Sch Business, DK-8210 Aarhus V, Denmark

来源：

EURO-PAR 2010 PARALLEL PROCESSING WORKSHOPS | 2011年 / 6586卷

关键词：

LIBOR models; Levy processes; Levy LIBOR model; Picard approximation; parallel computing; TERM STRUCTURE; MARKET MODEL; RATES;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in the Levy LIBOR model of Eberlein and Ozkan [4]. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. We propose an alternative approximation scheme based on Picard approximations. Our approach is similar in accuracy to the full numerical solution, but with the feature that each rate is evolved independently of the other rates in the term structure. This enables simultaneous calculation of derivative prices of different maturities using parallel computing. We include numerical illustrations of the accuracy and speed of our method pricing caplets.

引用

页码：463 / 470

页数：8