Simulate a Cox-Ingersoll-Ross process

version (24.3 KB) by Dimitri Shvorob
(Exact algorithm)


Updated 4 Apr 2016

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Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.

Cite As

Dimitri Shvorob (2022). Simulate a Cox-Ingersoll-Ross process (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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