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Berry–Esseen inequalities for the fractional Black–Karasinski model of term structure of interest rates

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  • Bishwal Jaya P. N.

    (Department of Mathematics and Statistics, University of North Carolina at Charlotte, 376 Fretwell Building, 9201 University City Blvd., Charlotte, NC 28223, USA)

Abstract

The Black–Karasinski model is a one-factor non-affine interest rate model as it describes interest rate movements driven by a single source of randomness and the drift function is a nonlinear function of the interest rate. The drift parameters represent the level and the speed of mean reversion of the interest rate. It belongs to the class of no-arbitrage models. The paper introduces some new approximate minimum contrast estimators of the mean reversion speed parameter in the model based on discretely sampled data which are efficient and studies their asymptotic distributional properties with precise rates of convergence.

Suggested Citation

  • Bishwal Jaya P. N., 2022. "Berry–Esseen inequalities for the fractional Black–Karasinski model of term structure of interest rates," Monte Carlo Methods and Applications, De Gruyter, vol. 28(2), pages 111-124, June.
    • Handle: RePEc:bpj:mcmeap:v:28:y:2022:i:2:p:111-124:n:8
    DOI: 10.1515/mcma-2022-2111
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