A closed-form expansion for the conditional expectations of the extended CIR process-Reference-Cited by-同舟云学术

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A closed-form expansion for the conditional expectations of the extended CIR process

Published:2022-10 Issue:10 Volume:8 Page:e11068
ISSN:2405-8440
Container-title:Heliyon
language:en
Short-container-title:Heliyon

Author:

Rujivan Sanae,Thamrongrat Nopporn^ORCID

Publisher

Elsevier BV

Subject

Multidisciplinary

Reference18 articles.

1. A theory of the term structure of interest rate;Cox;Econometrica,1985

2. Maximum likelihood estimation of time-inhomogeneous diffusions;Egorov;J. Econom.,2003

3. Partial Differential Equations;Evans,2010

4. Partial Differential Equations of Parabolic Type;Friedman,2008

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An application of solutions of linear difference equations for obtaining the conditional moments of the trending Ornstein-Uhlenbeck processes;ScienceAsia;2023

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