Convergence model of interest rates of CKLS type (Q3165683)
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scientific article; zbMATH DE number 6099706
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Convergence model of interest rates of CKLS type |
scientific article; zbMATH DE number 6099706 |
Statements
29 October 2012
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convergence model of interest rate
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approximate analytic solution
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order of accuracy
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instantaneous volatilities
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constant volatilities
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stochastic differential equations
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real market data
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rates of CKLS
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European short rate
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partial differential equations
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bond prices
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0.8969841599464417
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0.8538293242454529
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0.8397663235664368
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0.82457035779953
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0.8155114054679871
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