Strong consistency of discrete estimators for drift parameters in the Cox–Ingersoll–Ross model

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dc.contributor.authorPrykhodko, O.
dc.contributor.authorRalchenko, Kostiantyn
dc.date.accessioned2024-06-17T05:41:58Z
dc.date.available2024-06-17T05:41:58Z
dc.date.issued2024
dc.description.abstractThe Cox–Ingersoll–Ross model is important and popular. It is used in many areas, for example, in the pricing of interest rate derivatives and as a model of stochastic volatility. Thus parameter estimation is significant for the practical application of this model. We are interested in developing theoretical estimators for parameters (𝑎, 𝑏) when 𝜎 is known for models based on discrete observations. Additionally, we aim to explore how estimators designed for continuous data can be adapted for the case of discrete observations. Therefore in this study we investigate the discrete counterparts of the strongly consistent estimators introduced in [2, Theorem 5].en_US
dc.identifier.citationPrykhodko O. D. Strong consistency of discrete estimators for drift parameters in the Cox-Ingersoll-Ross model / O. D. Prykhodko, K. V. Ralchenko // XII Всеукраїнська наукова конференцiя молодих математикiв, Київ, 9-11 травня 2024 р. : [збірник тез /оргком.: Глибовець А. М. та ін.] ; Нацiональний унiверситет Києво-Могилянська академiя" [та ін.]. - [Київ : б. в.], 2024. - C. 41-42.en_US
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/29833
dc.language.isoenen_US
dc.relation.sourceXII Всеукраїнська наукова конференцiя молодих математикiв: збірник тез доповідей, 9-11 травня 2024 рокуuk_UA
dc.statusfirst publisheden_US
dc.subjectmodel of stochastic volatilityen_US
dc.subjectnew model for analyzing interest ratesen_US
dc.subjectstochastic differential equationen_US
dc.subjectconference abstractsen_US
dc.titleStrong consistency of discrete estimators for drift parameters in the Cox–Ingersoll–Ross modelen_US
dc.typeConference materialsuk_UA
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