Some Properties of CIR Processes

• Published in: Stochastic analysis and applications Vol. 24; no. 4; pp. 901 - 912
• Main Authors: Chou, Ching-Sung, Lin, Hsien-Jen
• Format: Journal Article
• Language: English
• Published: Philadelphia, PA Taylor & Francis Group 01.08.2006; Taylor & Francis
• Subjects: Applications; Barrier options; CIR processes; Exact sciences and technology; Hitting times; Insurance, economics, finance; Mathematics; Probability and statistics; Probability theory and stochastic processes; Resolvent; Sciences and techniques of general use; Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications); Statistics; Stochastic processes; Density estimation; CIR process; Stochastic analysis; Resolvent; Finance; Square root process; Martingale; Probability density function; Transition probability; Laplace transformation; Hitting probability

This article derives some properties of variants of squared Bessel processes known as CIR processes in the finance literature. We derive the transition probability density function of a square-root process and compute the resolvent density of CIR processes. As a consequence, we derive the density of...