Parameter sensitivity of CIR process

DOI10.1214/ECP.V18-2035MaRDI QIDQ742998zbMATH OpenFDO

Authors 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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