首页|Closed-form formula for conditional moments of generalized nonlinear drift CEV process
Closed-form formula for conditional moments of generalized nonlinear drift CEV process
扫码查看
点击上方二维码区域，可以放大扫码查看
原文链接
NSTL
Elsevier
This paper studied a generalized case of the constant elasticity of variance diffusion (CEV) process whereas the drift term is substantially nonlinear in the short rate. Well-known instances deduced by this process are the extended Cox-Ingersoll-Ross (ECIR) process and the extended inverse Feller (EIF) process or 3/2-stochastic volatility model (SVM). We found particular sufficient conditions of existence and uniqueness of a positive pathwise strong solution for time-dependent parameter functions, and obtained closed-form formulas for conditional moments based on Feynman-Kac theorem. The accuracy and validity of the formulas were further investigated based on Monte Carlo simulations. (c) 2022 Elsevier Inc. All rights reserved.
NSTL
Elsevier
