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Central limit theorem and moderate deviation principle for CKLS model with small random perturbation

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  • Cai, Yujie
  • Wang, Shaochen

Abstract

In this paper, we study the asymptotic behavior of randomly perturbed Chan–Karolyi–Longstaff–Sanders (CKLS) model with small parameter ε. When ε→0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained.

Suggested Citation

  • Cai, Yujie & Wang, Shaochen, 2015. "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 6-11.
    • Handle: RePEc:eee:stapro:v:98:y:2015:i:c:p:6-11
    DOI: 10.1016/j.spl.2014.11.017
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    References listed on IDEAS

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    1. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    2. Baldi, P. & Caramellino, L., 2011. "General Freidlin-Wentzell Large Deviations and positive diffusions," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1218-1229, August.
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    Cited by:

    1. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
    2. Li, Yumeng & Wang, Ran & Yao, Nian & Zhang, Shuguang, 2017. "A moderate deviation principle for stochastic Volterra equation," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 79-85.

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