A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term (Q1005306): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.nahs.2007.07.002 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2131643456 / rank | |||
Normal rank | |||
Revision as of 18:41, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term |
scientific article |
Statements
A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term (English)
0 references
9 March 2009
0 references
Mathematical models
0 references
Interest rates
0 references
partial differential equations
0 references
Numerical algorithms
0 references
drift term
0 references
probability density
0 references
