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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.