most citedUnspanned Stochastic Volatility in the Multi-factor CIR Model

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math.NA2017

Incremental computation of block triangular matrix exponentials with application to option pricing

Daniel Kressner, Robert Luce, Francesco Statti

We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an eval…