Some Properties of CIR Processes

DOI10.1080/07362990600753643zbMATH Open1103.60018OpenAlexW2036054883MaRDI QIDQ5484536FDOQ5484536

Authors: Hsien-Jen Lin, Ching-Sung Chou 

Publication date: 21 August 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600753643

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zbMATH Keywords

confluent hypergeometric functionsgeometric Brownian motionresolventfirst hitting timessquared Bessel processesstock price processradial Ornstein-Uhlenbeck processCox-Ingersoll-Ros (CIR) processesfinancial barrier options

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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Cited In (14)

• Exponential martingales and CIR model
• On first hitting times for skew CIR processes
• Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• Solving inverse problems in stochastic models using deep neural networks and adversarial training
• Some properties of doubly skewed CIR processes
• Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
• Generalisation of fractional Cox-Ingersoll-Ross process
• Hitting times for sticky skew CIR process
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• On a discrete version of the CIR process
• Squared Bessel processes and their applications to the square root interest rate model
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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