Calibration of the Extended CIR Model

DOI10.1137/S0036139903437357zbMath1094.65009MaRDI QIDQ5470286

Hongtao Yang

Publication date: 30 May 2006

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmstochastic differential equationnumerical resultsinverse problemcalibrationextended CIR modelzero-coupon bond prices

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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