A closed-form formula for the conditional moments of the extended CIR process
type: Item
instance of: scholarly article
title: A closed-form formula for the conditional moments of the extended CIR process
zbMATH Open document ID: 1329.91133
author: Sanae Rujivan
published in: Journal of Computational and Applied Mathematics
publication date: 2015-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6520910
zbMATH Keywords: ECIR process
zbMATH Keywords: conditional moment
zbMATH Keywords: closed-form formula
zbMATH Keywords: partial differential equation
MaRDI profile type: Publication
full work available at URL: j.cam.2015.11.001
OpenAlex ID: W2179286921
cites work: Pricing Interest-Rate-Derivative Securities
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cites work: Maximum likelihood estimation of time-inhomogeneous diffusions.
DOI: 10.1016/J.CAM.2015.11.001
description: scientific article; zbMATH DE number 6520910