Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models (Q5256269)
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scientific article; zbMATH DE number 6448642
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models |
scientific article; zbMATH DE number 6448642 |
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Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models (English)
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22 June 2015
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forward-backward stochastic differential equations
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quadratic term-structure models
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zero coupon bond price
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quadratic price model
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Riccati equations
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