SONGKLANAKARIN JOURNAL OF SCIENCE & TECHNOLOGY

Volume 42, No. 02, Month MARCH, Year 2020, Pages 424 - 429

A closed-form formula for the conditional expectation of the extended cir process

Nopporn Thamrongrat and Sanae Rujivan

Abstract Download PDF

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

Keywords

extended CIR process, conditional expectation, closed-form formula

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