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A Special Family of Diffusions: Bessel Processes

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Chapter
  • 4k Downloads
Part of the Springer Finance book series (FINANCE)

Abstract

Bessel processes are intensively used in finance, to model the dynamics of asset prices, of the spot rate and of the stochastic volatility, or as a computational tool. In particular, we show that computations for the celebrated Cox-Ingersoll-Ross and Constant Elasticity Variance models can be carried out using Bessel processes.

Keywords

Brownian Motion Option Price Stochastic Volatility Special Family Stochastic Volatility Model 
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Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

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