Parameter sensitivity of CIR process

Sidi Mohamed Aly

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Article number34
Number of pages6
JournalElectronic Communications in Probability
Volume18
DOIs
Publication statusPublished - 2013 May 15

Subject classification (UKÄ)

  • Probability Theory and Statistics

Free keywords

  • CIR process
  • sensitivity

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