Hulley, Hardy; Platen, Eckhard - 2008
)= X’(t); (3)
5
where
’(t) := fi4·[exp(·t)¡1] (4)
is a deterministic time transformation, and X = (Xt)t‚0 is a squared …¡exp
‡
¡12‚(t;S)
·‚
; (10)
C(t;S) = S
h
1¡“¡x(t);4;‚(t;S)¢
i
¡K BtB
T
h
1¡“¡x(t);0;‚(t;S)¢
i
;
(11)
P(t;S) = K BtB
T
•
“¡x …(t);0;‚(t;S)¢¡exp
‡
¡12‚(t;S)
·‚
¡S“¡x(t);4;‚(t;S)¢;
(12)
BC(t;S) = BtB
T
h
1¡“¡x(t);0;‚(t;S)¢
i
; (13)
and
BP(t;S) = BtB
T …