Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations
Author:
Affiliation:
1. Laboratoire De Mathématiques Raphaël Salem Université De Rouen Saint‐Etienne‐Du‐Rouvray France
2. LAGA, Université Sorbonne Paris Nord Villetaneuse France
3. Department of Natural Science Education Pham Van Dong University Quang Ngai Vietnam
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12494
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3. Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts;Altmayer M.;SIAM Journal on Financial Mathematics,2015
4. Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
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