Please use this identifier to cite or link to this item:
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
ISSN: 0960-1627
Appears in Collections:Dept of Mathematics Research Papers

Files in This Item:
File Description SizeFormat 
FullText.pdfEmbargoed until 01-01-2030458.6 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.