%0 Journal Article
%T The explicit solution and precise distribution of CKLS model under Girsanov transform
%A Guangqiang Lan
%A Yunjiao Hu
%A Chong Zhang
%J Mathematics
%D 2014
%I arXiv
%X We study the relation between CKLS model and CIR model. We prove that under a suitable transformation, any CKLS model of order $\frac{1}{2}<\gamma<1$ or $\gamma> 1$ corresponds to a CIR model under a new probability space. Moreover, we get the explicit solution and the precise distribution of the CKLS model at any time $t$ under the new probability measure. We also give the moment estimation of CKLS model.
%U http://arxiv.org/abs/1410.2364v1