A closed-form expansion for the conditional expectations of the extended CIR process

This paper derives a closed-form expansion for the conditional expectation of a continuous-time stochastic process, given by [Formula: see text] for [Formula: see text] , where [Formula: see text] evolves according to the extended Cox-Ingersoll-Ross process, for any [Formula: see text] functions f a...

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Detalles Bibliográficos
Autores principales: Rujivan, Sanae, Thamrongrat, Nopporn
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9568846/
https://www.ncbi.nlm.nih.gov/pubmed/36254286
http://dx.doi.org/10.1016/j.heliyon.2022.e11068

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9568846/
https://www.ncbi.nlm.nih.gov/pubmed/36254286
http://dx.doi.org/10.1016/j.heliyon.2022.e11068

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