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Parameter sensitivity of CIR process

Aly, Sidi Mohamed LU (2013) In Electronic Communications in Probability 18.
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
CIR process, sensitivity
in
Electronic Communications in Probability
volume
18
pages
6 pages
publisher
Institute of Mathematical Statistics
external identifiers
  • Scopus:84877953405
ISSN
1083-589X
DOI
10.1214/ECP.v18-2035
language
English
LU publication?
yes
id
3cf434f5-f204-4534-8ea9-830dd68e98dd
date added to LUP
2016-04-13 13:36:36
date last changed
2016-10-13 05:06:10
@misc{3cf434f5-f204-4534-8ea9-830dd68e98dd,
  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.},
  author       = {Aly, Sidi Mohamed},
  issn         = {1083-589X},
  keyword      = {CIR process,sensitivity},
  language     = {eng},
  month        = {05},
  pages        = {6},
  publisher    = {ARRAY(0xbfc12f8)},
  series       = {Electronic Communications in Probability},
  title        = {Parameter sensitivity of CIR process},
  url          = {http://dx.doi.org/10.1214/ECP.v18-2035},
  volume       = {18},
  year         = {2013},
}