1 - 1 of 1 results (0.52 seconds)
Sort By:
  • Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process
    .... (2) Consider the up and down functions: u(x) = ~, + (1-~)x + pqx, x -> 0, (3) and d(x) = ... (4) 201 Formula (2) means that r(n + 1) = u(r(n)) or r(n + 1) = d(r(n)). (For simplicity, we assume ...

    View Description

    • Authors: Elias Shiu, ZHAOBI HA
    • Date: Jan 1990
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods