Call option prices based on Bessel processes
Probability
2008-08-27 v1
Abstract
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", 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
Cite
@article{arxiv.0808.3402,
title = {Call option prices based on Bessel processes},
author = {Ju-Yi Yen and Marc Yor},
journal= {arXiv preprint arXiv:0808.3402},
year = {2008}
}
Comments
14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)