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
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Revision as of 03:13, 29 February 2024
scientific article
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| 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 |
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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)
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9 March 2009
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Mathematical models
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Interest rates
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partial differential equations
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Numerical algorithms
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drift term
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probability density
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