Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
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Publication:2071035
DOI10.1007/s40687-021-00309-9zbMath1484.91490OpenAlexW4205474028WikidataQ115600559 ScholiaQ115600559MaRDI QIDQ2071035
Khamron Mekchay, Sanae Rujivan, Phiraphat Sutthimat, Udomsak Rakwongwan
Publication date: 25 January 2022
Published in: Research in the Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40687-021-00309-9
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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