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Journal of Probability and Statistics
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Journal of Probability and Statistics
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2015
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Article
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Fig 14
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Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Figure 14
Semilogy scale plot of the relative errors
(a) and
(b) computed for
, for the CIR interest rate model at time
, with parameters
,
,
, and
.
(a)
(b)