Transition density for CIR process by Lie symmetries and application to ZCB pricing (Q2867720)
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scientific article; zbMATH DE number 6241494
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| English | Transition density for CIR process by Lie symmetries and application to ZCB pricing |
scientific article; zbMATH DE number 6241494 |
Statements
20 December 2013
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CIR process
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stochastic differential equations
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Lie symmetry groups
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diffusion processes
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transition densities
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0.8336156
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0.8331076
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0.8270317
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0.8259553
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0.82444185
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0.82379436
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Transition density for CIR process by Lie symmetries and application to ZCB pricing (English)
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