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Simulate a Cox-Ingersoll-Ross process

by Dimitri Shvorob

 

01 Oct 2007 (Updated 17 Oct 2007)

No BSD License  

(Exact algorithm)

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Description

Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.

Please see CIRPATHDEMO, by following link 'Published m-files' below.
Required Products Statistics Toolbox
MATLAB release MATLAB 7.2 (R2006a)
Zip File Content  
Published MATLAB Files CIRPATHDEMO
Other Files cirpathdemo/cirpath.m,
cirpathdemo/cirpathdemo.m,
cirpathdemo/html/cirpathdemo_eq19833.png,
cirpathdemo/html/cirpathdemo_01.png,
cirpathdemo/html/Thumbs.db,
cirpathdemo/html/cirpathdemo.png,
cirpathdemo/html/cirpathdemo_02.png
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Comments and Ratings (1)
01 Oct 2007 Dimitri Shvorob

(Typo in the CIR specification spotted and will be corrected shortly)
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Updates
02 Oct 2007

typo correction
17 Oct 2007

cosmetic revision
Tag Activity for this File
Tag Applied By Date/Time
finance Dimitri Shvorob 22 Oct 2008 09:29:42
modeling Dimitri Shvorob 22 Oct 2008 09:29:42
analysis Dimitri Shvorob 22 Oct 2008 09:29:42
cox ingersoll ross cir Dimitri Shvorob 22 Oct 2008 09:29:42

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