Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (Q5242234)
From MaRDI portal
scientific article; zbMATH DE number 7127025
Language | Label | Description | Also known as |
---|---|---|---|
English | Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure |
scientific article; zbMATH DE number 7127025 |
Statements
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (English)
0 references
6 November 2019
0 references
actuarial valuation
0 references
stochastic short rate
0 references
Cox-Ingersoll-Ross model
0 references
long-term yield
0 references
0 references