Call option prices based on Bessel processes

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dc.creatorYen, Ju-Yi
dc.creatorYor, Marc
dc.date2008-08-25
dc.date.accessioned2026-07-07T09:58:24Z
dc.date.available2026-07-07T09:58:24Z
dc.descriptionAs 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.
dc.description14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)
dc.identifierhttps://arxiv.org/abs/0808.3402
dc.identifierhttp://arxiv.org/abs/0808.3402
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/167704
dc.subjectProbability
dc.titleCall option prices based on Bessel processes
dc.typetext

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