Some Properties of CIR Processes |
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Authors: | Ching-Sung Chou |
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Institution: | Institute of Mathematics, National Central University , Chung-Li, Taiwan |
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Abstract: | Abstract This article derives some properties of variants of squared Bessel processes known as CIR processes in the finance literature. We derive the transition probability density function of a square-root process and compute the resolvent density of CIR processes. As a consequence, we derive the density of CIR processes sampled at an independent exponential time. Moreover, we derive explicit expressions of the Laplace transforms (LTs) of first hitting times by martingale methods. |
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Keywords: | Barrier options CIR processes Hitting times Resolvent |
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