On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

DOI10.1016/j.spa.2004.11.003zbMath1075.60040MaRDI QIDQ2485843

Pierre Patie

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.11.003

zbMATH Keywords

Term structure; Special functions; First passage time; Stable process; Path dependent options

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

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