Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (Q5242234)
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scientific article; zbMATH DE number 7127025
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure |
scientific article; zbMATH DE number 7127025 |
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Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (English)
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6 November 2019
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actuarial valuation
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stochastic short rate
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Cox-Ingersoll-Ross model
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long-term yield
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