collaborators

1 paper

math.PR2020

Pricing the zero-coupon bond of the extended Cox-Ingersoll-Ross model using Malliavin calculus

Hongyi Chen, Sixian Jin, Di Kang

In this paper, we price the zero-coupon bond of the extended Cox-Ingersoll-Ross model by a Dyson type formula established in one of the authors' paper Jin, Peng and Schelllhorn (20…