Call option prices based on Bessel processes

Details Call option prices based on Bessel processes Call option prices based on Bessel processes

2008-08-25

arxiv.org/abs/0808.3402v1

Mathematics

Probability

14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)

Scientific paper

As a complement to some recent work by Pal and Protter, "Strict local
martingales, bubbles, and no early exercise", we show that the call option
prices associated with the Bessel strict local martingales are integrable over
time, and we discuss the probability densities obtained thus.

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