On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility (Q3552444)
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scientific article; zbMATH DE number 5697109
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| English | On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility |
scientific article; zbMATH DE number 5697109 |
Statements
22 April 2010
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Cox-Ingersoll-Ross two factor model
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rapidly oscillating volatility
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singular limit of solution
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asymptotic expansion
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0.7957342267036438
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0.774717390537262
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0.7651583552360535
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0.759908139705658
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