Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
Author:
Affiliation:
1. Department of Statistics London School of Economics London UK
2. Department of Mathematics Brunel University London Uxbridge Middlesex UK
3. Department of Statistics University of Warwick Coventry UK
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12248
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