Analytical Formula for Fractional-Order Conditional Moments of Nonlinear Drift CEV Process with Regime Switching: Hybrid Approach with Applications

This paper introduces an analytical formula for the fractional-order conditional moments of nonlinear drift constant elasticity of variance (NLD-CEV) processes under regime switching, governed by continuous-time finite-state irreducible Markov chains. By employing a hybrid system approach, we derive...

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Hauptverfasser:	Chumpong, Kittisak, Mekchay, Khamron, Nualsri, Fukiat, Sutthimat, Phiraphat
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Mathematical Finance
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