Serving the Quantitative Finance Community
-
- almostcutmyhair
- Posts: 0
- Joined:
simulating CIR process
Here is a dumb question: Let's say I'm simulating a CIR process using an approximation scheme. How do I test and validate that the process that I simulated is indeed a CIR process?
-
- CrimsonKodo
- Posts: 0
- Joined:
simulating CIR process
you can compare the theoretic laplace transform with the simulated one
-
- Cuchulainn
- Posts: 22929
- Joined:
simulating CIR process
Why not simulate the CIR process in terms of its (known) transition density? i.e. it is a non-central Chi^2 distribution.
simulating CIR process
Compare vs. low moments of the terminal distribution, plus various analytic solutions for derivatives.