| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7547797 | Statistics & Probability Letters | 2018 | 7 Pages |
Abstract
We study the probability distribution of the interest rate in the extended Cox-Ingersoll-Ross model, where all the parameters are time-varying. We show that the distribution can be represented as that of a convergent series of weighted independent central and noncentral chi-square random variables. Simulation algorithms and their applications to finance have been discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Qidi Peng, Henry Schellhorn,