Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises

DOI10.1016/j.spl.2016.09.014zbMath1352.60087arXiv1605.01190OpenAlexW2963126728MaRDI QIDQ342738

Xu Yang

Publication date: 18 November 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01190

zbMATH Keywords

limit theorem\(\alpha\)-stable processCIR modelmaximum likelihood type estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Bond pricing under mixed generalized CIR model with mixed Wishart volatility process ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises

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