A Special Family of Diffusions: Bessel Processes

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 6 in Mathematical Methods for Financial Markets, 2009, pp 333-403 from Springer

Abstract: Abstract Bessel processes are intensively used in finance, to model the dynamics of asset prices, of the spot rate and of the stochastic volatility, or as a computational tool. In particular, we show that computations for the celebrated Cox-Ingersoll-Ross and Constant Elasticity Variance models can be carried out using Bessel processes.

Keywords: Brownian Motion; Option Price; Stochastic Volatility; Special Family; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-84628-737-4_6

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DOI: 10.1007/978-1-84628-737-4_6

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