scientific article; zbMATH DE number 7534789

MaRDI QIDQ5080606zbMATH OpenFDO

Authors N. Thamrongrat, Sanae Rujivan

Publication date 31 May 2022

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3737

zbMATH Keywords

closed-form expansionconditional expectationECIR process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form formula for the conditional moments of the extended CIR process
• An affine property of the reciprocal Asian option process
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
• Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• On the Heston model with stochastic interest rates
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION

Cited in

(5)

• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross 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
• Closed-form formula for conditional moments of generalized nonlinear drift CEV process
• Closed-form expansion, conditional expectation, and option valuation
• A closed-form formula for the conditional moments of the extended CIR process

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