Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
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Publication:5855964
DOI10.1111/mafi.12248MaRDI QIDQ5855964
Angelos Dassios, Yan Qu, Jia Wei Lim
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12248
Bessel process; Monte Carlo simulation; Azéma martingale; Cox-Ingersoll-Ross process; Parisian stopping time
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)