Embedding the Vasicek model into the Cox-Ingersoll-Ross model (Q3067817): 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/10.1002/mma.1342 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2082121751 / rank | |||
Normal rank |
Revision as of 03:11, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Embedding the Vasicek model into the Cox-Ingersoll-Ross model |
scientific article |
Statements
Embedding the Vasicek model into the Cox-Ingersoll-Ross model (English)
0 references
13 January 2011
0 references
Lie symmetry analysis
0 references
Vasicek model
0 references
Cox-Ingersoll-Ross model
0 references
zero-coupon bond
0 references
interest rate model
0 references
partial differential equation
0 references
financial mathematics
0 references