Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
by Chao Wei
International Journal of Dynamical Systems and Differential Equations (IJDSDE), Vol. 10, No. 4, 2020

Abstract: This paper is concerned with the parameter estimation problem for discrete observed Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises. The explicit formula of the least squares estimators are obtained and the estimation error is given. By using Cauchy-Schwarz inequality, Gronwall's inequality, Markov inequality and dominated convergence, the consistency of the least squares estimators are proved when a small dispersion coefficient ε → 0 and n → ∞ simultaneously. The simulation is made to verify the effectiveness of the estimators.

Online publication date: Thu, 20-Aug-2020

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