A closed-form formula for the conditional expectation of the extended CIR process
This paper is an extension to a recent paper by Rujivan (2016), in which we derive a closed-form formula for the conditional expectation of the valuation process, defined by , : T s t t r s ds r u du T t T T s t V e f v h v e ds for 0 , t T where t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Prince of Songkla University
2020-04-01
|
| Series: | Songklanakarin Journal of Science and Technology (SJST) |
| Subjects: | |
| Online Access: | https://rdo.psu.ac.th/sjstweb/journal/42-2/24.pdf |