Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
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Publication:515757
DOI10.1016/j.cam.2016.12.039zbMath1358.91099OpenAlexW2576905463MaRDI QIDQ515757
Publication date: 16 March 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.039
Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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