A closed-form formula for the conditional moments of the extended CIR process
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Publication:896797
DOI10.1016/J.CAM.2015.11.001zbMATH Open1329.91133OpenAlexW2179286921MaRDI QIDQ896797FDOQ896797
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
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Cites Work
- Pricing Interest-Rate-Derivative Securities
- On the Heston model with stochastic interest rates
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- An affine property of the reciprocal Asian option process
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
Cited In (13)
- On the distribution of extended CIR model
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process
- 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
- Title not available (Why is that?)
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- Title not available (Why is that?)
- 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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