Diffusion models have been thoroughly studied for their use in seeking stochastic differential
equation (SDE) solutions and investigating their properties, such as moments and …

This paper proposes an analytical formula for the conditional expectations of path-
dependent product of polynomial and exponential function in the form of∑ j= 0 n λ j (l) rtlje∑ …

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 …

This paper proposes a simple and novel approach based on solving a partial differential
equation (PDE) to establish the concise analytical formulas for a conditional moment and …

This paper focuses mainly on the problem of computing the γ th, γ> 0, moment of a random
variable Y n:=∑ i= 1 n α i X i in which the α i's are positive real numbers and the X i's are …

Contingent claims, such as bonds, swaps, and options, are financial derivatives whose
payoffs depend on uncertain future real values of underlying assets which emphasize …

This paper presents analytical formulas for pricing generalized swaps, including the moment
swap, gamma swap, entropy swap and self-quantoed variance swap. The formulas are …

The stochastic differential equation (SDE) has been used to model various phenomena and
investigate their properties. Conditional moments of stochastic processes can be used to …

Several financial instruments have been thoroughly calculated via the price of an underlying
asset, which can be regarded as a solution of a stochastic differential equation (SDE), for …

This paper studies the portfolio selection problem where tradable assets are a bank account,
and standard put and call options are written on the S&P 500 index in incomplete markets in …