Simulation of the present value of perpetuity in CIR interest model

MaRDI QIDQ2924455zbMATH OpenFDO

Authors Lianzeng Zhang, Baige Duan

Publication date 3 November 2014

Published in Journal of Systems Engineering (Search for Journal in Brave)

zbMATH Keywords

CIR modelperpetuitypresent valuestochastic simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(1)

• Markov Chain Monte Carlo simulation of the distribution of some perpetuities

Describes a project that uses

Uses Software

• R
• Mathematica

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