CoxIngersollRossProcess

CoxIngersollRossProcess[μ, σ, θ, x0] represents a Cox–Ingersoll–Ross process with long‐term mean μ, volatility σ, speed of adjustment θ, and initial condition x0.

Examples

Create a CIR process:

CoxIngersollRossProcess[0.05, 0.1, 0.5, 0.03]

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