Closed-form formula for conditional moments of generalized nonlinear drift CEV process

作者：

Highlights：

• Closed-form formula for conditional moments of generalized NLD-CEV process.

• Closed-form formulas for conditional and unconditional moments of a nonlinear drift CEV process are presented in simplified form.

• Well-known instances deduced by the nonlinear drift CEV process are the Cox-Ingersoll-Ross and inverse Feller processes or 3/2-stochastic volatility model.

• Sufficient conditions of existence and uniqueness of a positive pathwise strong solution for time-dependent parameter functions are provided.

摘要

•Closed-form formula for conditional moments of generalized NLD-CEV process.•Closed-form formulas for conditional and unconditional moments of a nonlinear drift CEV process are presented in simplified form.•Well-known instances deduced by the nonlinear drift CEV process are the Cox-Ingersoll-Ross and inverse Feller processes or 3/2-stochastic volatility model.•Sufficient conditions of existence and uniqueness of a positive pathwise strong solution for time-dependent parameter functions are provided.

论文关键词：Nonlinear drift CEV process,ECIR Process,3/2-SVM,Conditional moment,Closed-form formula

论文评审过程：Received 17 August 2020, Revised 9 February 2022, Accepted 28 April 2022, Available online 9 May 2022, Version of Record 9 May 2022.

论文官网地址：https://doi.org/10.1016/j.amc.2022.127213