On the distribution of extended CIR model

Publication date: Available online 4 July 2018Source: Statistics & Probability LettersAuthor(s): Qidi Peng, Henry SchellhornAbstractWe 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.

Source: Statistics and Probability Letters - July 10, 2018 Category: Statistics Source Type: research