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 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 …

This paper presents an application of solutions of linear difference equations for obtaining a
closed-form formula for the γ-th conditional moment of the Ornstein-Uhlenbeck (OU) …

Closed-form formulas representing conditional moments of two models of stochastic
behavior of commodity prices are established. The obtained formulas are combinatorial in …

Abstract Cox-Ingersoll-Ross (CIR) process, introduced in 1985, is a one factor model used to
describe the evolution of interest rate and pricing the financial derivatives. It was later …