摘要翻译：
本文的目的是为Eberlein和Ozkan(2005)的L\'evy LIBOR模型中衍生品的Monte-Carlo定价提供快速而准确的近似方案。对于LIBOR连续利率的随机微分方程组，一般采用标准方法求解，但速度较慢。我们提出了一种基于Picard迭代的替代逼近方案。我们的方法在精确度上与完整的数值解相似，但与标准方法不同的是，每个利率都独立于期限结构中的其他利率而发展。这使得使用并行计算可以同时计算不同期限的衍生品价格。我们包括数值例子的准确性和速度，我们的方法定价囊。
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英文标题：
《Numerical methods for the L\'evy LIBOR model》
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作者：
Antonis Papapantoleon and David Skovmand
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Numerical Analysis        数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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英文摘要：
  The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). 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 iterations. Our approach is similar in accuracy to the full numerical solution, but with the feature that each rate is, unlike the standard method, 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.
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PDF链接：
https://arxiv.org/pdf/1006.3340