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Call option prices based on Bessel processes - MaRDI portal

Call option prices based on Bessel processes (Q539516)

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English
Call option prices based on Bessel processes
scientific article

    Statements

    title
    Call option prices based on Bessel processes (English)
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    author
    Ju-Yi Yen
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    Marc Yor
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    publication date
    30 May 2011
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    zbMATH Keywords
    Bessel processes
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    last passage times
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    strict local martingale
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    Identifiers

    zbMATH DE Number
    5900893
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    OpenAlex ID
    W1972951842
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    arXiv ID
    0808.3402
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