scientific article; zbMATH DE number 7534789

zbMath1492.91401MaRDI QIDQ5080606

N. Thamrongrat, Sanae Rujivan

Publication date: 31 May 2022

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3737

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

conditional expectationclosed-form expansionECIR process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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

Cites Work

• Unnamed Item
• A closed-form formula for the conditional moments of the extended CIR process
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
• On the Heston Model with Stochastic Interest Rates
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• An affine property of the reciprocal Asian option process

This page was built for publication: