Efficient numerical inversion for financial simulations (Q3405443)
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scientific article; zbMATH DE number 5671501
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Efficient numerical inversion for financial simulations |
scientific article; zbMATH DE number 5671501 |
Statements
Efficient Numerical Inversion for Financial Simulations (English)
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15 February 2010
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Newton interpolation
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Gauss-Lobatto quadrature
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Cox-Ingersoll-Ross (CIR)
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cumulative distribution function (CDF)
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0.7925627827644348
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0.769742488861084
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0.7655386328697205
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0.758610188961029
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