Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model (Q2855741)
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scientific article; zbMATH DE number 6217928
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| English | Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model |
scientific article; zbMATH DE number 6217928 |
Statements
Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model (English)
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22 October 2013
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Cox-Ingersoll-Ross model
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interest-rate dynamics
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Fourier inversion methods
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complex logarithm
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oscillatory integral
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Gauss-Lobatto quadrature
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0.7526417970657349
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0.7513794302940369
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0.745829164981842
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0.7454374432563782
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0.7449052333831787
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