Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
From MaRDI portal
Publication:5855964
DOI10.1111/mafi.12248OpenAlexW2982234826MaRDI QIDQ5855964
Jia Wei Lim, Angelos Dassios, Yan Qu
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12248
Bessel processMonte Carlo simulationAzéma martingaleCox-Ingersoll-Ross processParisian stopping time
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
A general approach for Parisian stopping times under Markov processes ⋮ Exact simulation of two-parameter Poisson-Dirichlet random variables ⋮ Explicit asymptotics on first passage times of diffusion processes
This page was built for publication: Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds