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The moments of a diffusion process

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  • Yun, Youngyun

Abstract

This paper investigates the moments of a diffusion process to derive the formulas for the nth exact moment. Instead of seeking the density or moment-generating functions, we utilize stochastic integrals and their properties to obtain the moments.

Suggested Citation

  • Yun, Youngyun, 2018. "The moments of a diffusion process," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 36-41.
    • Handle: RePEc:eee:stapro:v:138:y:2018:i:c:p:36-41
    DOI: 10.1016/j.spl.2018.02.007
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
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    7. Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
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    Cited by:

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