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

Elvira Di Nardo, Giuseppe D'Onofrio, Tommaso Martini (2024)

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DOI: 10.1016/J.AMC.2024.128911

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type: Journal Article

metadata version: 2024-07-19

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Elvira Di Nardo, Giuseppe D'Onofrio, Tommaso Martini:
Orthogonal gamma-based expansion for the CIR's first passage time distribution. Appl. Math. Comput. 480: 128911 (2024)

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