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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2022
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| Materias: | |
| 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 |