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20122016
most citedFractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations

2 citations · 4 across the 8 of their papers we have counts for

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math.PR2013

A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility

Zheng Liu, Qidi Peng, henry Schellhorn

We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of…