Closed-Form Formula for the Conditional Moment-Generating Function Under a Regime-Switching, Nonlinear Drift CEV Process, with Applications to Option Pricing
Chumpong, Kittisak, Mekchay, Khamron, Nualsri, Fukiat, Sutthimat, Phiraphat
Published in Mathematics (Basel) (01.09.2024)
Published in Mathematics (Basel) (01.09.2024)
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Journal Article
Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process
Sutthimat, Phiraphat, Rujivan, Sanae, Mekchay, Khamron, Rakwongwan, Udomsak
Published in Research in the mathematical sciences (01.03.2022)
Published in Research in the mathematical sciences (01.03.2022)
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Journal Article
Closed-form formula for conditional moments of generalized nonlinear drift CEV process
Sutthimat, Phiraphat, Mekchay, Khamron, Rujivan, Sanae
Published in Applied mathematics and computation (01.09.2022)
Published in Applied mathematics and computation (01.09.2022)
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Journal Article
A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process
Kittisak Chumpong, Khamron Mekchay, Sanae Rujivan
Published in Wārasān Songkhlā Nakharin (01.08.2020)
Published in Wārasān Songkhlā Nakharin (01.08.2020)
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Journal Article
Explicit Formula for Conditional Expectations of Product of Polynomial and Exponential Function of Affine Transform of Extended Cox-Ingersoll-Ross Process
Sutthimat, Phiraphat, Mekchay, Khamron, Rujivan, Sanae
Published in Journal of physics. Conference series (01.11.2018)
Published in Journal of physics. Conference series (01.11.2018)
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Journal Article
Finite volume method with reconstruction and bottom modification for open channel flows: An application to Yom River, Thailand
Pongsanguansin, Thida, Maleewong, Montri, Mekchay, Khamron
Published in International journal of computational methods in engineering science and mechanics (04.07.2018)
Published in International journal of computational methods in engineering science and mechanics (04.07.2018)
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Journal Article
High-Order AFEM for the Laplace–Beltrami Operator: Convergence Rates
Bonito, Andrea, Cascón, J. Manuel, Mekchay, Khamron, Morin, Pedro, Nochetto, Ricardo H.
Published in Foundations of computational mathematics (01.12.2016)
Published in Foundations of computational mathematics (01.12.2016)
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