On Stiffness in Affine Asset Pricing Models
Economic and econometric analysis of continuous-time affine asset pricing models often necessitates solving systems of ordinary differential equations (ODEs) numerically. Explicit RungeûKutta (ERK) methods have been suggested to solve these ODEs both in the theoretical finance literature and in the...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2007
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/2569 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3568/viewcontent/YuJCF.pdf |
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