期刊名称：Walailak Journal of Science and Technology (WJST)
印刷版ISSN：2228-835X
出版年度：2011
卷号：6
期号：1
页码：127-140
语种：English
出版社：Institute of Research and Development, Walailak University.
摘要：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.
