Parameter sensitivity of CIR process

Sidi Mohamed Ould Aly (Université de Marne-la-vallée)

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.

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Pages: 1-6

Publication Date: May 15, 2013

DOI: 10.1214/ECP.v18-2035

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