Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and … conditional characteristic functions. Such solutions recover verbatim those of the uncorrelated case which encompasses a range of …-generating functions are not available for the latter. We focus on the financial scenario of obtaining closed-form expressions for the …