Some Properties of CIR Processes

DOI10.1080/07362990600753643zbMath1103.60018OpenAlexW2036054883MaRDI QIDQ5484536

Hsien-Jen Lin, Ching-Sung Chou

Publication date: 21 August 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600753643

zbMATH Keywords

resolventgeometric Brownian motionconfluent hypergeometric functionsfirst hitting timessquared Bessel processesstock price processradial Ornstein-Uhlenbeck processCox-Ingersoll-Ros (CIR) processesfinancial barrier options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60)

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