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Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process
11 references·1 citing·45 second hop
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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model394 cited
  • 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation355 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates291 cited
  • 1997Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates230 cited
  • 1994The term structure of real interest rates and the Cox, Ingersoll, and Ross model188 cited
  • 1993A Test of the Cox, Ingersoll, and Ross Model of the Term Structure157 cited
  • 1995Testing for continuous-time models of the short-term interest rate99 cited

Cited by

  • 2009Empirical Performance of the Constant Elasticity Variance Option Pricing Model26 cited

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