Closed-form formula for conditional moments of generalized nonlinear drift CEV process
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Publication:2671852
DOI10.1016/j.amc.2022.127213WikidataQ113880722 ScholiaQ113880722MaRDI QIDQ2671852
Khamron Mekchay, Sanae Rujivan, Phiraphat Sutthimat
Publication date: 3 June 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2022.127213
91Bxx: Mathematical economics
91Gxx: Actuarial science and mathematical finance
60Jxx: Markov processes