A Feynman-Kac type formula for a fixed delay CIR model
Work
Year: 2019
Type: article
Abstract: Stochastic delay differential equations (SDDE's) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an additional fixed delay term ... more
Authors Federico Flore, Giovanna Nappo
Institutions Roma Tre University, Sapienza University of Rome
Cites: 21
Cited by: 3
Related to: 10
FWCI:
Citation percentile (by year/subfield): 63.64
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green