Calibration of the Extended CIR Model
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/S0036139903437357
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2. Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process;Research in the Mathematical Sciences;2022-01-11
3. On the Convergence of a Crank–Nicolson Fitted Finite Volume Method for Pricing American Bond Options;Mathematical Problems in Engineering;2020-05-28
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