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Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
A KINGMAN CONVOLUTION APPROACH TO BESSEL PROCESSES
Kingman convolution radial characteristic function independent increment-type processes
2009/9/18
In this paper we study Bessel processes in terms of the Kingman
convolution method. In particular, we propose a higher dimensional
model of the Kingman convolution algebras.We show that every Bessel...
Eigenvalues of the Laguerre Process as Non-Colliding Squared Bessel Processes
Wishart and Laguerre ensembles and processes eigenvalues as diffusions non-colliding squared Bessel processes
2009/5/4
Let A(t) be an n-times-p matrix with independent standard complex Brownian entries and set M(t)=A(t)*A(t). This is a process version of the Laguerre ensemble and as such we shall refer to it as the La...
Renewal series and square-root boundaries for Bessel processes
Renewal series square-root boundaries Bessel processes
2009/3/23
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical resu...