Asymmetric skew Bessel processes and their applications to finance

Journal of Computational and Applied Mathematics

Volumn 186, Issue 1 SPEC. ISS., 2006, Pages 130-147

  Decamps, Marc ^a   Goovaerts, Marc ^b   Schoutens, Wim ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asian options; Bessel processes; Local time; Perpetuities

Indexed keywords

COMPUTATIONAL METHODS; OPTIMIZATION; PROBABILITY; RANDOM PROCESSES;

ASIAN OPTIONS; BESSEL PROCESSES; LOCAL TIME; PERPITUITIES;

BROWNIAN MOVEMENT;

EID: 26044465270     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2005.03.067     Document Type: Conference Paper

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