Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
type: Item
instance of: scholarly article
title: Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
zbMATH Open document ID: 1484.91490
author: Phiraphat Sutthimat
author: Sanae Rujivan
author: Khamron Mekchay
author: Udomsak Rakwongwan
published in: Research in the Mathematical Sciences
publication date: 2022-01-25T00:00:00Z
review text: The analytical formulas for conditional expectations of path-dependent product of polynomial and exponential functions based on the extended Cox-Ingersoll-Ross process (ECIRP) have been proposed via directly extending the recent research published in 2019 by the first three current authors. An application of the authors' proposed formulas is given in finance and is illustrated by deriving analytical pricing formula for interest rate swap, namely, arrears swap under the ECIRP.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7463877
zbMATH Keywords: analytical formula
zbMATH Keywords: conditional expectation
zbMATH Keywords: ECIR process
zbMATH Keywords: path-dependent
Wikidata QID: Q115600559
reviewed by: Anatoliy Swishchuk
MaRDI profile type: MaRDI publication profile
full work available at URL: s40687-021-00309-9
OpenAlex ID: W4205474028
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DOI: 10.1007/S40687-021-00309-9
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description: scientific article; zbMATH DE number 7463877