An Improved CIR Tree

The Cox-Ingersoll-Ross (CIR)-process is a well-known model for interest rate or default rate modeling. Here we combine two existing tree approximations, each of them having some disadvantages, in order to obtain an improved tree implementation ensuring convergence for all CIR processes

Year of publication:	2017
Authors:	Overbeck, Ludger ; Weckend, Johannes
Publisher:	[S.l.] : SSRN

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