Abstract

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 (formula presented) for 0 ≤ t ≤ where v<inf>t</inf> is assumed to follow the extended Cox-Ingersoll-Ross process, for f(v)=v^γ1and h(v)=v^γ2 for any γ<inf>1</inf> γ<inf>2</inf> ϵ R, and any integrable function r. Our newly-derived formula can be used to price a contingent claim (f,r,h) in which f(v<inf>t</inf>), r(t),and h(v<inf>t</inf>) for t ϵ[0, T] represent, respectively, a terminal payoff, an interest rate process.