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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: | 21-May-2020 |
| Publisher: | Wiley |
| Citation: | Dassios, A., Lim, J.W. and Qu, Y. (2020) 'Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds', Mathematical Finance, 30 (4), pp. 1497 - 1526. doi: 10.1111/mafi.12248. |
| URI: | https://bura.brunel.ac.uk/handle/2438/19344 |
| DOI: | https://doi.org/10.1111/mafi.12248 |
| ISSN: | 0960-1627 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Embargoed until 21-05-2022 | 493.24 kB | Adobe PDF | View/Open |
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