Call option prices based on Bessel processes (Q539516): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+J60
@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / zbMATH DE Number @@
+5900893
@@ Property / zbMATH DE Number: 5900893 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bessel processes
@@ Property / zbMATH Keywords: Bessel processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+last passage times
@@ Property / zbMATH Keywords: last passage times / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+strict local martingale
@@ Property / zbMATH Keywords: strict local martingale / rank @@
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+MaRDI publication profile
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+W1972951842
@@ Property / OpenAlex ID: W1972951842 / rank @@
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+.3402
@@ Property / arXiv ID: 0808.3402 / rank @@
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@@ Property / cites work @@
+The Brownian escape process
@@ Property / cites work: The Brownian escape process / rank @@
+Normal rank
@@ Property / cites work @@
+Some probabilistic properties of Bessel functions
@@ Property / cites work: Some probabilistic properties of Bessel functions / rank @@
+Normal rank
@@ Property / cites work @@
+Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
+Normal rank
@@ Property / cites work @@
+Analysis of continuous strict local martingales via \(h\)-transforms
+Normal rank
@@ Property / cites work @@
+Q3923359
@@ Property / cites work: Q3923359 / rank @@
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@@ Property / cites work @@
+Option prices as probabilities. A new look at generalized Black-Scholes formulae
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@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
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@@ Property / cites work @@
+Q3685792
@@ Property / cites work: Q3685792 / rank @@
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@@ Property / cites work @@
+Q4220132
@@ Property / cites work: Q4220132 / rank @@
+Normal rank
@@ Property / cites work @@
+Bessel diffusions as a one-parameter family of diffusion processes
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:539516