2 papers
math.PR2025
On the Exact Distribution of the Sum of Two CIR Processes
Bilgi Yilmaz, Alper Hekimoglu
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the…
q-fin.PR2018
Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
Bilgi Yilmaz
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a…