Closed-form formula for conditional moments of generalized nonlinear drift CEV process

被引：10
作者：
Sutthimat, Phiraphat [1 ]
Mekchay, Khamron [1 ]
Rujivan, Sanae [2 ]
机构：
[1] Chulalongkorn Univ, Fac Sci, Dept Math & Comp Sci, Bangkok 10330, Thailand
[2] Walailak Univ, Ctr Excellence Data Sci Hlth Study, Sch Sci, Div Math & Stat, Nakhon Si Thammarat 80161, Thailand
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2022年 / 428卷
关键词：
Nonlinear drift CEV process; ECIR Process; 3; 2-SVM; Conditional moment; Closed-form formula; MODEL;
D O I：
10.1016/j.amc.2022.127213
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页数：17
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