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

Guangqiang Lan, Yunjiao Hu, Chong Zhang

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 mode…