Parameter sensitivity of CIR process

DOI10.1214/ECP.V18-2035zbMATH Open1297.65005MaRDI QIDQ742998FDOQ742998

S. M. Ould Aly

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

sensitivityCIR process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30)

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