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Simulate a Cox-Ingersoll-Ross process

version 1.0.0.0 (24.3 KB) by Dimitri Shvorob
(Exact algorithm)

4.9K Downloads

Updated 04 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 (2021). Simulate a Cox-Ingersoll-Ross process (https://www.mathworks.com/matlabcentral/fileexchange/16670-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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cirpathdemo/

cirpathdemo/html/