Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds (Q5855964)
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scientific article; zbMATH DE number 7326791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds |
scientific article; zbMATH DE number 7326791 |
Statements
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds (English)
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23 March 2021
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Azéma martingale
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Bessel process
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Cox-Ingersoll-Ross process
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Monte Carlo simulation
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Parisian stopping time
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