Simulate a Cox-Ingersoll-Ross process

Versione 1.0.0.0 (24,3 KB) da Dimitri Shvorob
(Exact algorithm)
3.0
(2)
4,9K download
Aggiornato 4 apr 2016

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Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.

Cita come

Dimitri Shvorob (2025). Simulate a Cox-Ingersoll-Ross process (https://www.mathworks.com/matlabcentral/fileexchange/16670-simulate-a-cox-ingersoll-ross-process), MATLAB Central File Exchange. Recuperato .

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cirpathdemo/

cirpathdemo/html/

Versione Pubblicato Note della release
1.0.0.0

BSD
cosmetic revision