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Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
13 references·0 citing·42 second hop
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  • 19965 Stochastic volatility1,189 cited
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  • 2002Option valuation under stochastic volatility: with mathematica code228 cited
  • 2007Option pricing when correlations are stochastic: an analytical framework206 cited
  • 2003Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model165 cited
  • 2010Derivative Pricing With Wishart Multivariate Stochastic Volatility105 cited
  • 2006On the mixed fractional Brownian motion104 cited
  • 2014The pricing of credit default swaps under a generalized mixed fractional Brownian motion34 cited

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