The explicit solution and precise distribution of CKLS model under Girsanov transform

Abstract

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.

9 pages