Call Option Prices Based on Bessel Processes
Copyright policy )Call Option Prices Based on Bessel Processes
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel strict local martingales are integrable over time, and we discuss the probability densities obtained thus.
14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)
- Sorbonne University France
- French National Centre for Scientific Research France
- University of Paris France
- Academia Sinica Taiwan
- Vanderbilt University United States
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], last passage times, strict local martingale, Probability (math.PR), FOS: Mathematics, Diffusion processes, Financial applications of other theories, Bessel processes, Mathematics - Probability
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], last passage times, strict local martingale, Probability (math.PR), FOS: Mathematics, Diffusion processes, Financial applications of other theories, Bessel processes, Mathematics - Probability
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