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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+AS 155
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+Q3661894
@@ Property / cites work: Q3661894 / rank @@
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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
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+Q4868517
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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 @@
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