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CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE
DANG-NGUYEN, STEPHANE, LE CAILLEC, JEAN-MARC, HILLION, ALAINVolume:
17
Langue:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024914500381
Date:
September, 2014
Fichier:
PDF, 324 KB
english, 2014