most citedComputation of option greeks under hybrid stochastic volatility models via Malliavin calculus

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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…