An Improved CIR Tree
18 Pages Posted: 10 Jan 2017
Date Written: January 9, 2017
Abstract
The Cox-Ingersoll-Ross (CIR)-process is a well-known model for interest rate or default rate modeling. Here we combine two existing tree approximations, each of them having some disadvantages, in order to obtain an improved tree implementation ensuring convergence for all CIR processes.
Keywords: CIR-short rate process, Tree Approximations, Convergence
JEL Classification: G13
Suggested Citation: Suggested Citation
Overbeck, Ludger and Weckend, Johannes, An Improved CIR Tree (January 9, 2017). Available at SSRN: https://ssrn.com/abstract=2895942 or http://dx.doi.org/10.2139/ssrn.2895942
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.