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

Guangqiang Lan; Yunjiao Hu; Chong Zhang

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arXiv · 1410.2364

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

Guangqiang Lan·Yunjiao Hu·Chong Zhang

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Abstract

We study the relation between CKLS model and CIR model. We prove that under a suitable transformation, any CKLS model of order $\frac{1}{2}<γ<1$ or $γ> 1$ 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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Guangqiang Lan, Yunjiao Hu, Chong Zhang. 2014-10-09. The explicit solution and precise distribution of CKLS model under Girsanov transform. https://arxiv.org/abs/1410.2364

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