A closed-form formula for the conditional moments of the extended CIR process
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Publication:896797
DOI10.1016/j.cam.2015.11.001zbMath1329.91133OpenAlexW2179286921MaRDI QIDQ896797
Publication date: 14 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.11.001
Related Items (10)
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Cites Work
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
- On the Heston Model with Stochastic Interest Rates
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- Pricing Interest-Rate-Derivative Securities
- An affine property of the reciprocal Asian option process
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