Call Option Prices Based on Bessel Processes

Ju-Yi Yen () and Marc Yor
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Ju-Yi Yen: Vanderbilt University
Marc Yor: Université Pierre et Marie Curie

Methodology and Computing in Applied Probability, 2011, vol. 13, issue 2, 329-347

Abstract: Abstract As a complement to some recent work by Pal and Protter (2007, 2009), 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.

Keywords: Bessel processes; Last passage times; Strict local martingale; 60J60 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-009-9151-5

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