作者
Phiraphat Sutthimat, Khamron Mekchay, Sanae Rujivan
发表日期
2018/11/1
期刊
Journal of Physics: Conference Series
卷号
1132
期号
1
页码范围
012083
出版商
IOP Publishing
简介
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.
学术搜索中的文章
P Sutthimat, K Mekchay, S Rujivan - Journal of Physics: Conference Series, 2018