| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4638073 | Journal of Computational and Applied Mathematics | 2016 | 10 Pages |
Abstract
In this paper, we derive a simple closed-form formula for the γthγth conditional moment of a variance process, based on the extended Cox–Ingersoll–Ross (ECIR) process, for any real number γγ. 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Sanae Rujivan,