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