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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715218302347
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:142:y:2018:i:c:p:23-29
Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01
DOI: 10.1016/j.spl.2018.06.011
Access Statistics for this article
Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul
More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().