Building Trinomial Tree for CIR Model in Python
The CIR (Cox Ingersoll Ross) model is a type of one-factor short-rate model where the short rate follows a square-root diffusion process.
I compared CIR model and Black-Karasinski model.
I explained how to build trinomial tree for CIR model and implemented the model in Python.
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The Python code is uploaded into https://github.com/AIMLModeling/CIRTree