Forward-backward SDEs and the CIR model

We consider a forward-backward stochastic differential equation associated with the bond price for the Cox-Ingersoll-Ross interest rate model and prove an existence and uniqueness result. This technique is generalizable to multidimensional affine term structure models.

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Year of publication:	2007
Authors:	Hyndman, Cody Blaine
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 17, p. 1676-1682
Publisher:	Elsevier
Keywords:	CIR model Bond price Forward-backward stochastic differential equations Riccati equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005314009