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

This paper derives a closed-form expansion for the conditional expectation of a continuous-time stochastic process, given by Vt,T:=e−∫tTg(vs)dsf(vT) for 0≤t≤T, where vt evolves according to the extended Cox-Ingersoll-Ross process, for any C∞ functions f and g. We apply the Feynman-Kac theorem to sta...

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Bibliographic Details
Main Authors: Sanae Rujivan, Nopporn Thamrongrat
Format: Article
Language:English
Published: Elsevier 2022-10-01
Series:Heliyon
Subjects:
Online Access:http://www.sciencedirect.com/science/article/pii/S2405844022023568