Simulate a Cox-Ingersoll-Ross process
Version 1.0.0.0 (24.3 KB) by
Dimitri Shvorob
(Exact algorithm)
Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.
Cite As
Dimitri Shvorob (2024). Simulate a Cox-Ingersoll-Ross process (https://www.mathworks.com/matlabcentral/fileexchange/16670-simulate-a-cox-ingersoll-ross-process), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2006a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 | BSD
|
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