The following publications are possibly variants of this publication:
- SABR/LIBOR market models: Pricing and calibration for some interest rate derivativesAna M. Ferreiro, José A. García-Rodríguez, José G. López-Salas, Carlos Vázquez. amc, 242:65-89, 2014. [doi]
- A numerical method for pricing spread options on LIBOR rates with a PDE modelM. Suárez-Taboada, C. Vázquez. mcm, 52(7-8):1074-1080, 2010. [doi]
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUsD. Castillo, A. M. Ferreiro, José A. García-Rodríguez, C. Vázquez. amc, 219(24):11233-11257, 2013. [doi]