The Explicit Solution and Precise Distribution of CKLS Model under Girsanov Transform

  •  Yunjiao Hu    
  •  Guangqiang Lan    
  •  Chong Zhang    


The relation between CKLS model and CIR model will be investigatedin this paper. It will be shown that under a suitabletransformation, any CKLS model of order $\frac{1}{2}<\gamma<1$ or$\gamma> 1$ corresponds to a CIR model under a new probabilityspace. Moreover, the explicit solution and the precise distributionof the CKLS model at any time $t$ are obtained under the newprobability measure. The moment estimation of CKLS model will be given finally.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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