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On certain integral functionals of squared Bessel processes

Çetin, Umut (2015) On certain integral functionals of squared Bessel processes. Stochastics: an International Journal of Probability and Stochastic Processes, 87 (6). pp. 1033-1060. ISSN 1744-2508

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Identification Number: 10.1080/17442508.2015.1026344

Abstract

For a squared Bessel process, X, the Laplace transforms of joint laws of (U;R Ry0 Xps ds) are studied where Ry is the first hitting time of y by X and U is a random variable measurable with respect to the history of X until Ry. A subset of these results are then used to solve the associated small ball problems for R Ry0 Xpsds and determine a Chung's law of iterated logarithm. (Ry0 Xps ds )is also considered as a purely discontinuous increasing Markov process and its infinitesimal generator is found. The findings are then used to price a class of exotic derivatives on interest rates and determine the asymptotics for the prices of some put options that are only slightly in-the-money.

Item Type: Article
Official URL: http://www.tandfonline.com/loi/gssr20
Additional Information: © 2015 Taylor & Francis
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Research centres and groups > Risk and Stochastics Group
Date Deposited: 13 Mar 2015 10:39
Last Modified: 20 Mar 2019 02:39
URI: http://eprints.lse.ac.uk/id/eprint/61211

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