Some Properties of CIR Processes

DOI10.1080/07362990600753643MaRDI QIDQ5484536zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

confluent hypergeometric functionsCox-Ingersoll-Ros (CIR) processesfinancial barrier optionsfirst hitting timesgeometric Brownian motionradial Ornstein-Uhlenbeck processresolventsquared Bessel processesstock price process

Mathematics Subject Classification ID

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

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Cites work

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• A decomposition of Bessel Bridges
• A survey and some generalizations of Bessel processes
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Cited in

(19)

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

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