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Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process · Study

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ArticleEvaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process

Sigurd Dyrting2004

Article2004

Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process

32 citations·0/0 files stored·Computational Economics

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Stochastic processes and financial applications Mathematical functions and polynomials Statistical Distribution Estimation and Applications

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References

1985A Theory of the Term Structure of Interest Rates 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation 1989Computing the Constant Elasticity of Variance Option Pricing Formula 1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates 1997Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates

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2009Empirical Performance of the Constant Elasticity Variance Option Pricing Model

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Year2004

Typearticle

Published2004-08-01

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/b:csem.0000038840.58451.c9

openalex_workW1995057253

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