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Skew CIR process, conditional characteristic function, moments and bond pricing

Yingxu Tian and Haoyan Zhang

Applied Mathematics and Computation, 2018, vol. 329, issue C, 230-238

Abstract: 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.

Keywords: Feller branching process; Skew CIR process; Conditional characteristic function; Moment; Zero coupon bond pricing (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:apmaco:v:329:y:2018:i:c:p:230-238