Journal of Physics Conference Series, Volume 1132, Issue 1 , 10/12/2018
Explicit Formula for Conditional Expectations of Product of Polynomial and Exponential Function of Affine Transform of Extended Cox-Ingersoll-Ross Process
Abstract
In this study, an explicit formula for conditional expectations of the product of polynomial and exponential function of an affine transform is derived under the extended Cox-Ingersoll-Ross (ECIR) process. Moreover, we simplify the result to derive an explicit formula for the CIR process.
Document Type
Conference Paper
Source Type
Conference Proceeding
ASJC Subject Area
Physics and Astronomy : Physics and Astronomy (all)
Bibliography