18 citations · 23 across the 9 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
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★ 18 cited
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…