Simulate a Cox-Ingersoll-Ross process

(Exact algorithm)

Version 1.0.0.0 (24.3 KB)
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4 Apr 2016

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Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.

Cite As

Dimitri Shvorob (2026). Simulate a Cox-Ingersoll-Ross process (https://uk.mathworks.com/matlabcentral/fileexchange/16670-simulate-a-cox-ingersoll-ross-process), MATLAB Central File Exchange. Retrieved .

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.0.0.0

BSD
cosmetic revision