Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds

Angelos Dassios, Jia Wei Lim and Yan Qu

Mathematical Finance, 2020, vol. 30, issue 4, 1497-1526

Abstract: In this paper, we study the excursions of Bessel and Cox–Ingersoll–Ross (CIR) processes with dimensions 0

Date: 2020
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