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On the distribution of extended CIR model

Qidi Peng and Henry Schellhorn

Statistics & Probability Letters, 2018, vol. 142, issue C, 23-29

Abstract: We study the probability distribution of the interest rate in the extended Cox–Ingersoll–Ross model, where all the parameters are time-varying. We show that the distribution can be represented as that of a convergent series of weighted independent central and noncentral chi-square random variables. Simulation algorithms and their applications to finance have been discussed.

Keywords: ECIR model; Noncentral chi-square; Series representation (search for similar items in EconPapers)
Date: 2018
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