A Special Family of Diffusions: Bessel Processes
- 4k Downloads
Bessel processes are intensively used in finance, to model the dynamics of asset prices, of the spot rate and of the stochastic volatility, or as a computational tool. In particular, we show that computations for the celebrated Cox-Ingersoll-Ross and Constant Elasticity Variance models can be carried out using Bessel processes.
KeywordsBrownian Motion Option Price Stochastic Volatility Special Family Stochastic Volatility Model
Unable to display preview. Download preview PDF.