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Jul 25

Matlab code for 2-factor CIR in simulations

Posted by abiao at 18:09 | Code » Matlab | Comments(5) | Reads(22879)
Jackknifing Bond Option Prices. Programs and data used in the paper:  Swap and LIBOR Rates;   Matlab code for 1-factor CIR in simulations;   Matlab code for 1-factor CIR in applications;   Matlab code for 2-factor CIR in simulations;   Matlab code for 2-factor CIR in applications  

http://www.mysmu.edu/faculty/yujun/research.html
http://www.mysmu.edu/faculty/yujun/Research/jackknifecir1foption_sim.m


Ciao
Hi, abiao, where is the code for CIR simulation ? I cannto see it anywhere on this page. Do you mind to help me about this ? THanks a bunch !
Yan, thanks for pointing it out, I have updated the link to the code, enjoy.
Hi, abiao. How can I enter the link? Thanks!
Sam, what do you mean "enter" the link? the file is downloadable.
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