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

Angelos Dassios, Jia Wei Lim and Yan Qu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this paper, we study the excursions of Bessel and CIR processes with dimensions 0

Keywords: Azéma martingale; Parisian stopping time; Cox-Ingersoll-Ross process; Bessel process; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2020-10-01
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Published in Mathematical Finance, 1, October, 2020, 30(4), pp. 1497-1526. ISSN: 0960-1627

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