Estimation and empirical evaluation of the time-dependent Extended-CIR term structure model

DOI10.1093/IMAMAN/11.3.161zbMath0994.91025OpenAlexW2046701028MaRDI QIDQ2725037

Yoosef Maghsoodi

Publication date: 2000

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/11.3.161

zbMATH Keywords

option pricinginterest ratesmaximum likelihoodterm structuremodel estimationsquare-root modelsyield curve fitting

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (2)

Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions ⋮ Mean–variance efficiency with extended CIR interest rates

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