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2013 Parameter sensitivity of CIR process
Sidi Mohamed Ould Aly
Author Affiliations +
Electron. Commun. Probab. 18: 1-6 (2013). DOI: 10.1214/ECP.v18-2035

Abstract

We study the differentiability of the CIR process with respect to its parameters. We give a stochastic representation for these derivatives in terms of the paths of V.<br />

Citation

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Sidi Mohamed Ould Aly. "Parameter sensitivity of CIR process." Electron. Commun. Probab. 18 1 - 6, 2013. https://doi.org/10.1214/ECP.v18-2035

Information

Accepted: 15 May 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1297.65005
MathSciNet: MR3064993
Digital Object Identifier: 10.1214/ECP.v18-2035

Subjects:
Primary: 65C30
Secondary: 62P05

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