Parameter sensitivity of CIR process

被引：0
|
作者：
Aly, S. M. Ould [1 ]
机构：
[1] Univ Paris Est Marne La Vallee, Paris, France
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2013年 / 18卷
关键词：
CIR process; sensitivity;
D O I：
10.1214/ECP.v18-2035
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：1 / 6
页数：6
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