Orthogonal gamma-based expansion for the CIR's first passage time distribution

Fuente: arXiv

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Bibliographic Details
Main Authors:	Di Nardo, Elvira, D'Onofrio, Giuseppe, Martini, Tommaso
Format:	Preprint
Published:	2024
Subjects:	Probability Numerical Analysis Computation 65C20, 60G07, 62E17, 42C10, 60-08
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2402.00833