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

摘要

In this paper, we study the asymptotic behavior of randomly perturbed Chan-Karolyi-Longstaff-Sanders (CKLS) model with small parameter root epsilon. When epsilon -> 0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained. (C) 2014 Elsevier B.V. All rights reserved.