Change detection in the Cox–Ingersoll–Ross model
Year of publication: |
2016
|
---|---|
Authors: | Pap, Gyula ; Szabó, Tamás T. |
Published in: |
Statistics & Risk Modeling. - De Gruyter Oldenbourg, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 33.2016, 1-2, p. 21-40
|
Publisher: |
De Gruyter Oldenbourg |
Subject: | Change detection | Cox–Ingersoll–Ross process | Brownian bridge |
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