A numerical method for pricing spread options on LIBOR rates with a PDE model. - M. Suárez-Taboada; Carlos Vázquez 002 (Math. Comput. Model., 2010)

Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics. - M. Suárez-Taboada; Carlos Vázquez 002 (Appl. Math. Comput., 2012)

IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing. - José G. López-Salas; M. Suárez-Taboada; Manuel Jesús Castro Díaz; Ana Maria Ferreiro-Ferreiro; José Antonio García-Rodríguez (CoRR, 2024)

Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance. - José G. López-Salas; M. Suárez-Taboada; Manuel J. Castro; Ana Maria Ferreiro-Ferreiro; José Antonio García-Rodríguez (CoRR, 2024)

A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance. - José G. López-Salas; M. Suárez-Taboada; Manuel Jesús Castro Díaz; Ana Maria Ferreiro-Ferreiro; José Antonio García-Rodríguez (CoRR, 2024)