Parameter sensitivity of CIR process
2013 (English)In: Electronic Communications in Probability, ISSN 1083-589XArticle in journal (Refereed) Published
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 .
Place, publisher, year, edition, pages
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-218690OAI: oai:DiVA.org:uu-218690DiVA: diva2:696581