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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dassios, A | - |
dc.contributor.author | Wei Lim, J | - |
dc.contributor.author | Qu, Y | - |
dc.date.accessioned | 2019-10-18T13:17:50Z | - |
dc.date.available | 2019-10-18T13:17:50Z | - |
dc.date.issued | 2020-05-21 | - |
dc.identifier.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. | en_US |
dc.identifier.issn | 0960-1627 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/19344 | - |
dc.format.extent | 1497 - 1526 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Wiley | en_US |
dc.subject | Azéma martingale | en_US |
dc.subject | Parisian stopping time | en_US |
dc.subject | Cox-Ingersoll-Ross process | en_US |
dc.subject | Bessel process | en_US |
dc.subject | Monte Carlo simulation | en_US |
dc.title | Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1111/mafi.12248 | - |
dc.relation.isPartOf | Mathematical Finance | - |
pubs.issue | 4 | - |
pubs.publication-status | Published | - |
pubs.volume | 30 | - |
dc.identifier.eissn | 1467-9965 | - |
Appears in Collections: | Dept of Mathematics Research Papers |
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FullText.pdf | Embargoed until 21-05-2022 | 493.24 kB | Adobe PDF | View/Open |
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