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

页码：1 / 6

页数：6

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