This paper is concerned with one general Feller’s Branching Diffusion, called skew CIR process. We derive the conditional characteristic function and moment of this general diffusion process first. Then with the same computing idea, we handle with its application in bond pricing. All the results we adopt are closed forms.
Applied Mathematics and Computation – Elsevier
Published: Jul 15, 2018
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
All the latest content is available, no embargo periods.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud