Call option prices based on Bessel processes (Q539516): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5900893 / rank | |||
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| Property / zbMATH Keywords | |||
Bessel processes | |||
| Property / zbMATH Keywords: Bessel processes / rank | |||
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last passage times | |||
| Property / zbMATH Keywords: last passage times / rank | |||
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strict local martingale | |||
| Property / zbMATH Keywords: strict local martingale / rank | |||
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Revision as of 10:51, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Call option prices based on Bessel processes |
scientific article |
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Call option prices based on Bessel processes (English)
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30 May 2011
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Bessel processes
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last passage times
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strict local martingale
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