科研之友
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摘要
In this paper, we derive a simple closed-form formula for the gamma th conditional moment of a variance process, based on the extended Cox-Ingersoll-Ross (ECIR) process, for any real number gamma. The closed-form formula presented here is a result of successfully finding an exact solution for the partial differential equation, based on the ECIR process. We conduct Monte Carlo simulations to illustrate the accuracy of the current closed-form formula.
- 出版日期2016-5-1
