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.
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© 2009 Springer-Verlag London
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Jeanblanc, M., Yor, M., Chesney, M. (2009). A Special Family of Diffusions: Bessel Processes. In: Mathematical Methods for Financial Markets. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-737-4_6
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DOI: https://doi.org/10.1007/978-1-84628-737-4_6
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Publisher Name: Springer, London
Print ISBN: 978-1-84882-819-3
Online ISBN: 978-1-84628-737-4
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