• RecordNumber
    2262
  • Author

    YANG, HONGTAO

  • Title of Article

    CALIBRATION OF THE EXTENDED CIR MODEL

  • Title Of Journal
    Society for Industrial and Applied Mathematics
  • Publication Year
    2006
  • Volum
    66
  • Issue Number
    2
  • Page
    721-735
  • Keywords
    extended CIR model , calibration , inverse problem , solution uniqueness and existence , numerical solutions
  • Abstract
    In this paper we shall prove that the calibration problem for the extended CIR model in [J. Hull and A. White, Rev. Financial Studies, 3 (1990), pp. 573–592] has a unique solution. The constructive proof leads to a numerical algorithm for computing the approximations of the time- dependent parameters and the zero-coupon bond prices. The results are also extended to multifactor CIR (Cox–Ingersoll–Ross) models. Numerical results are presented to examine the accuracy of our algorithm and to compare the extended CIR model with the Vasicek models.
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    • Link To Document
    https://math.iranlibs.ir/dl/search/default.aspx?Term=2262&Field=0&DTC=14