Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process

Author:

Sutthimat Phiraphat,Rujivan Sanae,Mekchay KhamronORCID,Rakwongwan Udomsak

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Mathematics (miscellaneous),Theoretical Computer Science

Reference30 articles.

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2. Ben-Ameur, H., Breton, M., Karoui, L., L‘ Ecuyer, P.: A dynamic programming approach for pricing options embedded in bonds. J. Econ. Dyn. Control. 31(7), 2212–2233 (2007)

3. Boonklurb, R., Duangpan, A., Treeyaprasert, T.: Modified finite integration method using Chebyshev polynomial for solving linear differential equations. J. Numer. Ind. Appl. Math. 12(3–4), 1–19 (2018)

4. Chumpong, K., Mekchay, K., Thamrongrat, N.: Analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on Schwartz‘s one-factor model. Songklanakarin J. Sci. Technol. 43(2), 1–6 (2021)

5. Cox, J.C., Ingersoll, J.E., Ross, S.A.: A theory of the term structure of interest rates. Econometrica 53(2), 385–407 (1985)

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