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Communications in Statistics - Theory and Methods Volume 49, 2020 - Issue 21
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Original Articles

Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect

Cheng-Hsun WuDepartment of Financial Engineering and Actuarial Mathematics, Soochow University, Taipei City, Taiwan; Correspondence[email protected]
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Kai-Jiun ChangTaiwan Academy of Banking and Finance, Financial Research Institute, Taipei City, TaiwanView further author information
Pages 5294-5311 | Received 03 Oct 2018, Accepted 07 May 2019, Published online: 20 May 2019

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