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Call Option Prices Based on Bessel Processes |
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| Authors: | Ju-Yi Yen Marc Yor |
| Institution: | 1. Vanderbilt University, Nashville, TN, 37240, USA 2. Academia Sinica, Taipei, Taiwan 3. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Case Courrier 188, 4, Place Jussieu, 75252, Paris, Cedex 05, France 4. Institut Universitaire de France, Paris, France |
| 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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