Journal of Computational and Applied Mathematics, Volume 297, Pages 75-84 , 01/05/2016
A closed-form formula for the conditional moments of the extended CIR process
Abstract
In this paper, we derive a simple closed-form formula for the <sup>γth</sup> conditional moment of a variance process, based on the extended Cox-Ingersoll-Ross (ECIR) process, for any real number γ. The closed-form formula presented here is a result of successfully finding an exact solution for the partial differential equation, based on the ECIR process. We conduct Monte Carlo simulations to illustrate the accuracy of the current closed-form formula.
Document Type
Article
Source Type
Journal
Keywords
Closed-form formulaConditional momentECIR processPartial differential equation
ASJC Subject Area
Mathematics : Computational MathematicsMathematics : Applied Mathematics
Funding Agency
Walailak University