Forward-backward SDEs and the CIR model (Q2471244)
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scientific article; zbMATH DE number 5238709
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| English | Forward-backward SDEs and the CIR model |
scientific article; zbMATH DE number 5238709 |
Statements
Forward-backward SDEs and the CIR model (English)
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22 February 2008
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CIR model
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Bond price
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forward-backward stochastic differential equations
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Riccati equations
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0.91907287
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0.9170496
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0.90516514
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0.8974626
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0.8969314
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0.88832176
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