Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
DOI10.1007/S40687-021-00309-9zbMATH Open1484.91490OpenAlexW4205474028WikidataQ115600559 ScholiaQ115600559MaRDI QIDQ2071035FDOQ2071035
Authors: Phiraphat Sutthimat, Sanae Rujivan, Khamron Mekchay, Udomsak Rakwongwan 
Publication date: 25 January 2022
Published in: Research in the Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40687-021-00309-9
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (5)
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process
- CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
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- A closed-form formula for the conditional moments of the extended CIR process
- Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
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