Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757)
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scientific article; zbMATH DE number 6695724
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| English | Bond pricing under mixed generalized CIR model with mixed Wishart volatility process |
scientific article; zbMATH DE number 6695724 |
Statements
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (English)
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16 March 2017
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fractional Brownian motion
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Wishart process
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CIR model
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zero-coupon bond
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0.8875258
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0.8797984
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0.86440194
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0.8565466
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0.8564948
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0.85450935
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0.85398823
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0.8527185
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0.8511658
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