Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153818 | Statistics & Probability Letters | 2007 | 7 Pages |
Abstract
We consider a forward–backward stochastic differential equation associated with the bond price for the Cox–Ingersoll–Ross interest rate model and prove an existence and uniqueness result. This technique is generalizable to multidimensional affine term structure models.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Cody Blaine Hyndman,