A closed-form formula for the conditional moments of the extended CIR process

DOI10.1016/J.CAM.2015.11.001MaRDI QIDQ896797zbMATH OpenOpenAlexFDO

Authors Sanae Rujivan

Publication date 14 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.11.001

zbMATH Keywords

conditional momentpartial differential equationclosed-form formulaECIR process

Mathematics Subject Classification ID

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

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Cites work

• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• An affine property of the reciprocal Asian option process
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• On the Heston model with stochastic interest rates
• Pricing interest-rate-derivative securities
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION

Cited in

(13)

• On the distribution of extended CIR model
• Closed-form formula for conditional moments of generalized nonlinear drift CEV process
• Simple analytical formulas for pricing and hedging moment swaps
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Stochastic elasticity of vol-of-vol and pricing of variance swaps
• Multilevel Monte Carlo using approximate distributions of the CIR process
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• Distributional properties of continuous time processes: from CIR to bates
• scientific article; zbMATH DE number 7534789 (Why is no real title available?)
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
• 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
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation

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