Closed-Form Expansions for Transition Densities of Convenience Yield Processes
In this paper, we derive closed-form expansions for transition densities of convenience yield processes modeled by using extended Cox-Ingersoll-Ross (ECIR) processes. The closed-form expansions can be used for all cases of model having appropriate drift and diffusion coefficients. In terms of the e...
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| Format: | Article |
| Language: | English |
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Walailak University
2011-11-01
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| Series: | Walailak Journal of Science and Technology |
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| Online Access: | http://wjst.wu.ac.th/index.php/wjst/article/view/77 |
| Summary: | In this paper, we derive closed-form expansions for transition densities of convenience yield processes modeled by using extended Cox-Ingersoll-Ross (ECIR) processes. The closed-form expansions can be used for all cases of model having appropriate drift and diffusion coefficients. In terms of the efficiency, the closed-form expansions are close to the exact transition densities when the number of terms in the expansions is large and the time step size is small.
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| ISSN: | 1686-3933 2228-835X |