Asymmetric skew Bessel processes and their applications to finance

DOI10.1016/j.cam.2005.03.067zbMath1087.91022OpenAlexW2005361088MaRDI QIDQ2571223

Wim Schoutens, Marc Decamps, Marc J. Goovaerts

Publication date: 1 November 2005

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.03.067

zbMATH Keywords

local timeperpetuitiesBessel processesAsian optionsskew Brownian motiongeneralized diffusionsskew Bessel processes

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

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