Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence (Q6567317)
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scientific article; zbMATH DE number 7876203
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| English | Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence |
scientific article; zbMATH DE number 7876203 |
Statements
Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence (English)
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4 July 2024
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term structure model
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multifactor CIR model
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perturbation method
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Riccati equations
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conditional moments
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0.788143515586853
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0.764808177947998
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0.7486634254455566
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0.7311650514602661
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0.7166311144828796
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