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