Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect (Q5078025)
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scientific article; zbMATH DE number 7529955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect |
scientific article; zbMATH DE number 7529955 |
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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 (English)
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20 May 2022
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multi-factor CIR model
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term structure of interest rate
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perturbation theory
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Riccati equations
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transition density
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