Calibration of the Extended CIR Model
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algorithmcalibrationextended CIR modelinverse problemnumerical resultsstochastic differential equationzero-coupon bond prices
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20)
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