Squared bessel processes and their applications to the square root interest rate model

Asia-Pacific Financial Markets

Volumn 9, Issue 3-4, 2002, Pages 169-190

  Shirakawa, Hiroshi ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Bessel process; Extended cir model; Option pricing; Time varying dimension

Indexed keywords

EID: 17444410348     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/a:1024173313448     Document Type: Article

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