Closed-Form Expansions for Transition Densities of Convenience Yield Processes

Authors

  • Sanae RUJIVAN Division of Mathematics, School of Science, Walailak University, Nakhon Si Thammarat 80161

Keywords:

Closed-form expansions, transition densities, convenience yield, ECIR processes

Abstract

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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References

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Published

2011-11-08

How to Cite

RUJIVAN, S. (2011). Closed-Form Expansions for Transition Densities of Convenience Yield Processes. Walailak Journal of Science and Technology (WJST), 6(1), 127–140. Retrieved from https://wjst.wu.ac.th/index.php/wjst/article/view/77

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Section

Research Article