The explicit solution and precise distribution of CKLS model under Girsanov transform

MaRDI QIDQ6255345zbMATH OpenFDO

Authors Guangqiang Lan, Yunjiao Hu, Chong Zhang

Publication date 9 October 2014

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study the relation between CKLS model and CIR model. We prove that under a suitable transformation, any CKLS model of order $frac12<gamma<1$ or $gamma>1$ corresponds to a CIR model under a new probability space. Moreover, we get the explicit solution and the precise distribution of the CKLS model at any time $t$ under the new probability measure. We also give the moment estimation of CKLS model.

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