{"title":"Analytical Formula for Conditional Moments of Extended Heston-CEV Hybrid Model with Time-dependent Parameters","authors":"Promsiri Anunak, P. Boonserm, Udomsak Rakwongwan","doi":"10.12982/cmjs.2023.022","DOIUrl":null,"url":null,"abstract":"This paper proposes an analytical formula for conditional moments of the extended Heston- CEV hybrid model, where the underlying asset dynamic is formed under the hybrid framework of a constant elasticity of variance (CEV) process that is the March–Rosenfeld process. The formula is received by successfully solving the partial differential equation corresponding to the infi nitesimal generator for two-dimensional process. The formula obtained is easy to use in practice and relatively more general compared with the currently existing results in the literature. In addition, numerical validations are conducted to illustrate the accuracy of our analytical formula by comparing the results gained from the Monte Carlo (MC) simulations.","PeriodicalId":9884,"journal":{"name":"Chiang Mai Journal of Science","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Chiang Mai Journal of Science","FirstCategoryId":"103","ListUrlMain":"https://doi.org/10.12982/cmjs.2023.022","RegionNum":4,"RegionCategory":"综合性期刊","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MULTIDISCIPLINARY SCIENCES","Score":null,"Total":0}
引用次数: 0
Abstract
This paper proposes an analytical formula for conditional moments of the extended Heston- CEV hybrid model, where the underlying asset dynamic is formed under the hybrid framework of a constant elasticity of variance (CEV) process that is the March–Rosenfeld process. The formula is received by successfully solving the partial differential equation corresponding to the infi nitesimal generator for two-dimensional process. The formula obtained is easy to use in practice and relatively more general compared with the currently existing results in the literature. In addition, numerical validations are conducted to illustrate the accuracy of our analytical formula by comparing the results gained from the Monte Carlo (MC) simulations.
期刊介绍：
The Chiang Mai Journal of Science is an international English language peer-reviewed journal which is published in open access electronic format 6 times a year in January, March, May, July, September and November by the Faculty of Science, Chiang Mai University. Manuscripts in most areas of science are welcomed except in areas such as agriculture, engineering and medical science which are outside the scope of the Journal. Currently, we focus on manuscripts in biology, chemistry, physics, materials science and environmental science. Papers in mathematics statistics and computer science are also included but should be of an applied nature rather than purely theoretical. Manuscripts describing experiments on humans or animals are required to provide proof that all experiments have been carried out according to the ethical regulations of the respective institutional and/or governmental authorities and this should be clearly stated in the manuscript itself. The Editor reserves the right to reject manuscripts that fail to do so.
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