activity
20122025
most citedA General Class of Multifractional Processes and Stock Price Informativeness

10 citations · 16 across the 21 of their papers we have counts for

collaborators
Showing 2013Show all

1 paper · 1 filter

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…