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Call Option Prices Based on Bessel Processes

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Abstract

As a complement to some recent work by Pal and Protter (2007, 2009), 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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Authors and Affiliations

  1. Vanderbilt University, Nashville, TN, 37240, USA

    Ju-Yi Yen

  2. Academia Sinica, Taipei, Taiwan

    Ju-Yi Yen

  3. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Case Courrier 188, 4, Place Jussieu, 75252, Paris, Cedex 05, France

    Marc Yor

  4. Institut Universitaire de France, Paris, France

    Marc Yor

Authors
  1. Ju-Yi Yen
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  2. Marc Yor
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Correspondence to Ju-Yi Yen.

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Yen, JY., Yor, M. Call Option Prices Based on Bessel Processes. Methodol Comput Appl Probab 13, 329–347 (2011). https://doi.org/10.1007/s11009-009-9151-5

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  • DOI: https://doi.org/10.1007/s11009-009-9151-5

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