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
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
Keywords:
CIR process
,
Sensitivity
