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

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

Phiraphat Sutthimat2021

Article2021

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

Phiraphat Sutthimat · Khamron Mekchay

22 citations·0/0 files stored·Communications in Nonlinear Science and Numerical Simulation

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Stochastic processes and financial applications Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1978On the term structure of interest rates 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes 1999A Parametric Nonlinear Model of Term Structure Dynamics

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Year2021

Typearticle

Published2021-10-28

VenueCommunications in Nonlinear Science and Numerical Simulation

ISSN-L1007-5704

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cnsns.2021.106095

openalex_workW3209829307

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