Parameter sensitivity of CIR process
(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:
https://lup.lub.lu.se/record/3cf434f5-f204-4534-8ea9-830dd68e98dd
- author
- Aly, Sidi Mohamed LU
- organization
- publishing date
- 2013-05-15
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- CIR process, sensitivity
- in
- Electronic Communications in Probability
- volume
- 18
- article number
- 34
- 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
- 2022-01-30 02:39:01
@article{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}},
keywords = {{CIR process; sensitivity}},
language = {{eng}},
month = {{05}},
publisher = {{Institute of Mathematical Statistics}},
series = {{Electronic Communications in Probability}},
title = {{Parameter sensitivity of CIR process}},
url = {{http://dx.doi.org/10.1214/ECP.v18-2035}},
doi = {{10.1214/ECP.v18-2035}},
volume = {{18}},
year = {{2013}},
}