BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

DOI10.1111/j.1467-9965.1993.tb00092.xzbMath0884.90029OpenAlexW2066406479MaRDI QIDQ4372019

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00092.x

zbMATH Keywords

Bessel processes Asian options exponentials of Brownian motion perpetuities in the C.I.R. framework relationship between between Vasicek and C.I.R. models stochastic maturity options volatility misspecification

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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