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 language | English |
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Article number | 34 |
Number of pages | 6 |
Journal | Electronic Communications in Probability |
Volume | 18 |
DOIs | |
Publication status | Published - 2013 May 15 |
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- CIR process
- sensitivity