Chiang Mai Journal of Science

      This paper proposes an analytical formula for conditional moments of the extended Heston-CEV hybrid model, where the underlying asset dynamic is formed under the hybrid framework of a constant elasticity of variance (CEV) process that is the March–Rosenfeld process. The formula is received by successfully solving the partial differential equation corresponding to the infinitesimal generator for two-dimensional process. The formula obtained is easy to use in practice and relatively more general compared with the currently existing results in the literature. In addition, numerical validations are conducted to illustrate the accuracy of our analytical formula by comparing the results gained from the Monte Carlo (MC) simulations.