Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035)
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scientific article; zbMATH DE number 7463877
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| English | Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process |
scientific article; zbMATH DE number 7463877 |
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Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (English)
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25 January 2022
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The analytical formulas for conditional expectations of path-dependent product of polynomial and exponential functions based on the extended Cox-Ingersoll-Ross process (ECIRP) have been proposed via directly extending the recent research published in 2019 by the first three current authors. An application of the authors' proposed formulas is given in finance and is illustrated by deriving analytical pricing formula for interest rate swap, namely, arrears swap under the ECIRP.
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analytical formula
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conditional expectation
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ECIR process
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path-dependent
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0.763732373714447
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0.7291446328163147
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0.7274865508079529
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0.6985215544700623
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