Calibration of the Extended CIR Model (Q5470286)
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scientific article; zbMATH DE number 5029060
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Calibration of the Extended CIR Model |
scientific article; zbMATH DE number 5029060 |
Statements
Calibration of the Extended CIR Model (English)
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30 May 2006
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extended CIR model
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calibration
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inverse problem
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stochastic differential equation
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algorithm
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zero-coupon bond prices
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numerical results
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0.8227850794792175
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0.8027693629264832
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0.7907974720001221
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