A Novel Analytical Formula for the Discounted Moments of the ECIR Process and Interest Rate Swaps Pricing
This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process. We also propose an analytical formula as well as a very efficient and accurate approach, based on the fin...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/6/2/58 |