Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154525 | Statistics & Probability Letters | 2015 | 6 Pages |
Abstract
In this paper, we study the asymptotic behavior of randomly perturbed Chan–Karolyi–Longstaff–Sanders (CKLS) model with small parameter ε. When ε→0ε→0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yujie Cai, Shaochen Wang,