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Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
In this paper, we derive the Laplace transforms, i.e., expected values of the exponentials, of time integrals of a class of Extended Cox–Ingersoll–Ross (CIR) processes which are given as the product of a standard CIR process and a positive deterministic function. Assuming such a process for the shor...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2023
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10209971/ http://dx.doi.org/10.1007/s10203-023-00401-5 |