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Parameter sensitivity of CIR process
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2013 (English)In: Electronic Communications in Probability, ISSN 1083-589X, E-ISSN 1083-589XArticle in journal (Refereed) Published
Abstract [en]

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
2013.
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Probability Theory and Statistics
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URN: urn:nbn:se:uu:diva-218690OAI: oai:DiVA.org:uu-218690DiVA: diva2:696581
Available from: 2014-02-14 Created: 2014-02-14 Last updated: 2017-12-06

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