Closed-form formula for conditional moments of generalized nonlinear drift CEV process

DOI10.1016/J.AMC.2022.127213OpenAlexW4229460560WikidataQ113880722 ScholiaQ113880722MaRDI QIDQ2671852

Phiraphat Sutthimat, Sanae Rujivan, Khamron Mekchay

Publication date: 3 June 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127213

zbMATH Keywords

conditional momentclosed-form formulaECIR process3/2-SVMnonlinear drift CEV process

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx)

Related Items (1)

Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case

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