CoxIngersollRossProcess

CoxIngersollRossProcess[μ,σ,θ,x0]

represents a CoxIngersollRoss process with longterm mean μ, volatility σ, speed of adjustment θ, and initial condition x0.

Details

Examples

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Basic Examples  (3)

Simulate a CoxIngersollRoss process:

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Mean and variance functions:

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Covariance function:

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Scope  (14)

Properties & Relations  (3)

Neat Examples  (3)

See Also

WienerProcess  ItoProcess  GeometricBrownianMotionProcess

Introduced in 2012
(9.0)