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 Runge-Kutta (ERK) methods have been suggested to solve these ODEs both in the theoretical finance literature and in the...
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| 語言: | English |
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Institutional Knowledge at Singapore Management University
2005
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/880 |
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| 機構: | Singapore Management University |
| 語言: | English |