"Analytical computation of conditional moments in the extended ..."

Sanae Rujivan et al. (2025)

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DOI: 10.1016/J.MATCOM.2024.09.032

access: closed

type: Journal Article

metadata version: 2024-10-22

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Sanae Rujivan, Nopporn Thamrongrat, Parun Juntanon, Boualem Djehiche:
Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: Hybrid PDE system solutions with financial applications. Math. Comput. Simul. 229: 176-202 (2025)

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