3 papers
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…
math.PR2020
Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
Sixian Jin, Kei Kobayashi
The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given…
math.PR2019
Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
Sixian Jin, Kei Kobayashi
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the rand…