On the distribution of extended CIR model (Q1726700): Difference between revisions

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-.1016/j.spl.2018.06.011
@@ Property / DOI: 10.1016/j.spl.2018.06.011 / rank @@
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+Q3661894
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
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+An Intertemporal General Equilibrium Model of Asset Prices
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+A Theory of the Term Structure of Interest Rates
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+Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
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+Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Pricing Interest-Rate-Derivative Securities
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+A simple class of square-root interest-rate models
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+Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
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+SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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+The distribution function of a linear combination of chi-squares
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+A mixture approximation to the distribution of a weighted sum of chi-squared variables
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+A decomposition of Bessel Bridges
@@ Property / cites work: A decomposition of Bessel Bridges / rank @@
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+Q4868517
@@ Property / cites work: Q4868517 / rank @@
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+Squared Bessel processes and their applications to the square root interest rate model
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+Stochastic calculus for finance. II: Continuous-time models.
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+Calibration of the Extended CIR Model
@@ Property / cites work: Calibration of the Extended CIR Model / rank @@
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+On some exponential functionals of Brownian motion
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@@ Property / Wikidata QID @@
+Q129575178
@@ Property / Wikidata QID: Q129575178 / rank @@
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@@ Property / DOI @@
+.1016/J.SPL.2018.06.011
@@ Property / DOI: 10.1016/J.SPL.2018.06.011 / rank @@
+Normal rank