BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

DOI10.1111/mafi.12041zbMath1331.91180OpenAlexW1498121447MaRDI QIDQ2788692

Chenxu Li

Publication date: 22 February 2016

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

Full work available at URL: https://doi.org/10.1111/mafi.12041

zbMATH Keywords

Bessel processesstochastic volatility modelsvolatility derivativesrealized variancetimer options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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