Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
DOI10.1016/J.CAM.2024.115899zbMATH Open1540.9108MaRDI QIDQ6567317FDOQ6567317
Authors: Cheng-Hsun Wu 
Publication date: 4 July 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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Characteristic functions; other transforms (60E10) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for numerical methods for ordinary differential equations (65L70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)
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- Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect
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