Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/19344
Title: Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds
Authors: Dassios, A
Wei Lim, J
Qu, Y
Keywords: Azéma martingale;Parisian stopping time;Cox-Ingersoll-Ross process;Bessel process;Monte Carlo simulation
Issue Date: 2019
Publisher: Wiley
Citation: Mathematical Finance
URI: https://bura.brunel.ac.uk/handle/2438/19344
ISSN: 0960-1627
Appears in Collections:Dept of Mathematics Research Papers

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