Abstract

The regular perturbation approach to nonsteady drift of the Cox-Ingersoll-Ross model even under time-varying mean-reversion produces a closed system of higher-order forward-rate derivatives. This closure yields a second-order ordinary differential equation for the nonsteady drift.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call