BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

DOI10.1111/mafi.12041zbMath1331.91180MaRDI 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 processes; stochastic volatility models; volatility derivatives; realized variance; timer options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)