Concepedia

Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process

Phiraphat Sutthimat, Sanae Rujivan, Khamron Mekchay, Udomsak Rakwongwan

Research in the Mathematical Sciences · 2022 · 13 citations · 16 references

DOI

Concepts

References

16

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

, , +17

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

, , +7

Pricing Interest-Rate-Derivative Securities

John Hull, Alan White · Review of Financial Studies · 1990 · 2.2K citations

, , +17

An Intertemporal General Equilibrium Model of Asset Prices

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 2.1K citations

, , +15

SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION

Y. Maghsoodi · Mathematical Finance · 1996 · 231 citations

, , +17