Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds

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

zbMATH Keywords

Bessel processMonte Carlo simulationAzéma martingaleCox-Ingersoll-Ross processParisian stopping time

Mathematics Subject Classification ID

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