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A closed-form formula for the conditional expectation of the extended CIR process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper is an extension to a recent paper by Rujivan (2016), in which we derive a closed-form formula for the conditional expectation of the valuation process, defined by , : T s t t r s ds r u du T t T T s t
Nopporn Thamrongrat, Sanae Rujivan
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
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A New Closed-Form Formula of the Gauss Hypergeometric Function at Specific Arguments
AxiomsIn this paper, the authors briefly review some closed-form formulas of the Gauss hypergeometric function at specific arguments, alternatively prove four of these formulas, newly extend a closed-form formula of the Gauss hypergeometric function at some ...
Yue-Wu Li, Feng Qi
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An Improvement of Closed-Form Formula for Mutual Impedance Computation
Journal of the Korean Institute of Electromagnetic Engineering and Science, 2013 In this paper, we present an improvement of a closed-form formula for mutual impedance computation. Depending on the center-to-center spacing between two rectangular microstrip patch antennas, the mutual impedance formula is separated into two parts. The formula based on synthetic asymptote and variable separation is utilized for spacings of more than ...
Keum Cheol Hwang
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A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional ...
Kittisak Chumpong +2 more
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Closed-form formula for a classical system of matrix equations
Arab Journal of Basic and Applied Sciences, 2022 Keeping in view the latest development of anti-Hermitian matrix in mind, we construct some closed form formula for a classical system of matrix equations having anti-Hermitian nature in this paper.
Abdur Rehman +4 more
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Closed-form formulae for inflation correlators
Journal of High Energy Physics, 2023 Abstract We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass, spin, chemical potential, and arbitrary nonderivative or derivative couplings to ...
Zhehan Qin, Zhong-Zhi Xianyu
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Closed forms of the Zassenhaus formula
Journal of Physics A: Mathematical and Theoretical, 2023 Abstract The Zassenhaus formula finds many applications in theoretical physics or mathematics, from fluid dynamics to differential geometry. The non-commutativity of the elements of the algebra implies that the exponential of a sum of operators cannot be expressed as the product of exponentials of operators.
Léonce Dupays, Jean-Christophe Pain
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Closed-Form Expressions of Upper Bound for Polarization-MDCSK System
Entropy, 2023 The performance analysis of polarization M-ary differential chaos shift keying (P-MDCSK) has been expressed using a tight upper bound with the Q-function. However, evaluating the Q-function directly is not a closed expression and there has been less work
Meiyuan Miao, Lin Wang, Weikai Xu
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Closed-form pricing formula for foreign equity option with credit risk
Advances in Difference Equations, 2021 Since credit risk in the over-the-counter (OTC) market has undoubtedly become very important issue, credit risk has to be considered when the options in the OTC market are priced.
Donghyun Kim, Ji-Hun Yoon, Geonwoo Kim
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