Call option prices based on Bessel processes

2008/08/25 by Ju-Yi Yen, Marc Yor, Yen, Ju-Yi +1
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.0808.3402

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

arxiv created 2008/08/25 · openalex publication_date 2008/08/25 · arxiv updated 2009/12/01 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

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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