Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes-Reference-Cited by-同舟云学术

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Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes

Published:2022-03 Issue: Volume:106 Page:106095
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Sutthimat Phiraphat^ORCID,Mekchay Khamron

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis

Reference48 articles.

1. Tables for Statisticians and Biometricians;Pearson,1914

2. A theory of the term structure of interest rates;Cox,2005

3. Back to the future Generating moment implications for continuous-time Markov processes;Hansen,1993

4. Pricing interest-rate-derivative securities;Hull;Rev Financ Stud,1990

5. Diffusion models for exchange rates in a target zone;Larsen;Math Finance,2007

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3. Numerical conservation issues for jump Pearson diffusions;Applied Numerical Mathematics;2023-09

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