BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (Q4372019)
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scientific article; zbMATH DE number 1106705
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES |
scientific article; zbMATH DE number 1106705 |
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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (English)
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21 January 1998
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exponentials of Brownian motion
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Bessel processes
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Asian options
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volatility misspecification
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stochastic maturity options
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relationship between between Vasicek and C.I.R. models
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perpetuities in the C.I.R. framework
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