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A method to compute the transition probability density associated to a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term

Authors :
Fatone, Lorella
Pacelli, G.
Recchioni, M. C.
Zirilli, F.
Publication Year :
2008
Publisher :
Oxford : Elsevier, 2007, 2008.

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.od......3707..8a9d3297e13501a26585ac94767397fb

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