Stefan Gerhold, Friedrich Hubalek, Richard B. Paris
Published 2020-04-22Version 1
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monotonicity property of the Kummer function. This auxiliary result is established by a computer algebra assisted proof. Moreover, we analyse the coefficients of the eigenfunction expansion of the running maximum distribution asymptotically.
Uniform approximation of the Cox-Ingersoll-Ross process
Asymptotic analysis by the saddle point method of the Anick-Mitra-Sondhi model
Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations
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