A closed-form formula for the conditional moments of the extended CIR process (Q896797)
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scientific article; zbMATH DE number 6520910
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| English | A closed-form formula for the conditional moments of the extended CIR process |
scientific article; zbMATH DE number 6520910 |
Statements
A closed-form formula for the conditional moments of the extended CIR process (English)
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14 December 2015
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ECIR process
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conditional moment
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closed-form formula
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partial differential equation
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0.8357304930686951
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0.763732373714447
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0.7485235333442688
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