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degenerate parabolic equations
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Applied Mathematical Finance
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Boundary Values and Finite Difference Methods for the Single Factor
Term
Structure
Equation
Ekstrom, Erik
;
Lotstedt, Per
;
Tysk, Johan
- In:
Applied Mathematical Finance
16
(
2009
)
3
,
pp. 253-259
We study the classical single factor
term
structure
equation
for models that predict non-negative interest rates. For …
Persistent link: https://www.econbiz.de/10004966847
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