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Jul 25

Matlab code for 2-factor CIR in simulations

Posted by abiao at 18:09 | Code » Matlab | Comments(3) | Reads(8564)

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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

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valerez
2010/02/15 16:09 [Add/Edit reply] [Clear reply] [Del comment] [Block]
Ciao
Yan
2010/06/29 14:07 [Add/Edit reply] [Clear reply] [Del comment] [Block]
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 !
abiao Homepage
2010/06/29 15:05 [Add/Edit reply] [Clear reply] [Del comment] [Block]
Yan, thanks for pointing it out, I have updated the link to the code, enjoy.
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