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Gaussian estimation for discretely observed Cox–Ingersoll–Ross model
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This paper is concerned with the parameter estimation problem for Cox–Ingersoll–Ross model based on discrete observation. First, a new discretized process is ...
This paper is concerned with the parameter estimation problem for Cox-Ingersoll-Ross model based on discrete observation. First, a new discretized process ...
This paper is concerned with the parameter estimation problem for Cox-Ingersoll-Ross model with small Lévy noises from discrete observations.
This paper is concerned with the parameter estimation problem for Cox–Ingersoll–Ross model based on discrete observation. First, a new discretized process ...
This paper is concerned with the least squares estimation of drift parameters for the Cox–Ingersoll–Ross (CIR) model driven by small symmetrical α-stable ...
Chao Wei, Huisheng Shu, Yurong Liu : Gaussian estimation for discretely observed Cox-Ingersoll-Ross model. Int. J. Gen. Syst. 45(5): 561-574 (2016).
This paper is concerned with the least squares estimation of drift parameters for the Cox–Ingersoll–Ross (CIR) model driven by small symmetrical -stable ...
Aug 12, 2019 · Abstract—This paper is concerned with the parameter esti- mation problem for Cox-Ingersoll-Ross model with small Lévy noises from discrete ...
In mathematical finance, the classical Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It specifies that the instantaneous interest ...
In practice interest rates are observed at discrete, albeit short, time intervals. ... Pricing interest rate options in a two-factor cox-ingersoll- ross model of ...