Closed-Form Expansions for Transition Densities of Convenience Yield Processes

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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Main Author: Sanae RUJIVAN
Format: Article
Language:English
Published: Walailak University 2011-11-01
Series:Walailak Journal of Science and Technology
Subjects:
Closed-form expansions
transition densities
convenience yield
ECIR processes
Online Access:http://wjst.wu.ac.th/index.php/wjst/article/view/77
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spelling doaj-9057a176439244a1995d29cd5a594e132020-11-25T01:41:40ZengWalailak UniversityWalailak Journal of Science and Technology1686-39332228-835X2011-11-016110.2004/wjst.v6i1.7773Closed-Form Expansions for Transition Densities of Convenience Yield ProcessesSanae RUJIVAN0Division of Mathematics, School of Science, Walailak University, Nakhon Si Thammarat 80161 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. http://wjst.wu.ac.th/index.php/wjst/article/view/77Closed-form expansionstransition densitiesconvenience yieldECIR processes
collection DOAJ
language English
format Article
sources DOAJ
author Sanae RUJIVAN
spellingShingle Sanae RUJIVAN
Closed-Form Expansions for Transition Densities of Convenience Yield Processes
Walailak Journal of Science and Technology
Closed-form expansions
transition densities
convenience yield
ECIR processes
author_facet Sanae RUJIVAN
author_sort Sanae RUJIVAN
title Closed-Form Expansions for Transition Densities of Convenience Yield Processes
title_short Closed-Form Expansions for Transition Densities of Convenience Yield Processes
title_full Closed-Form Expansions for Transition Densities of Convenience Yield Processes
title_fullStr Closed-Form Expansions for Transition Densities of Convenience Yield Processes
title_full_unstemmed Closed-Form Expansions for Transition Densities of Convenience Yield Processes
title_sort closed-form expansions for transition densities of convenience yield processes
publisher Walailak University
series Walailak Journal of Science and Technology
issn 1686-3933
2228-835X
publishDate 2011-11-01
description 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.
topic Closed-form expansions
transition densities
convenience yield
ECIR processes
url http://wjst.wu.ac.th/index.php/wjst/article/view/77
work_keys_str_mv AT sanaerujivan closedformexpansionsfortransitiondensitiesofconvenienceyieldprocesses
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