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ArticleAsymmetric skew Bessel processes and their applications to finance

Marc Decamps A2005

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Articlebronze2005

Asymmetric skew Bessel processes and their applications to finance

Marc Decamps A · Marc J. Goovaerts · Wim Schoutens

28 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

1999Continuous Martingales and Brownian Motion 2003A survey and some generalizations of Bessel processes 2001Exponential Functionals of Brownian Motion and Related Processes 1972On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel 1992The Laplace transform of annuities certain with exponential time distribution 1991“Skew-Brownian Motion” and Derived Processes 1979Diffusion Processes with Generalized Drift Coefficients

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2012First Passage Time of Skew Brownian Motion

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Year2005

Typearticle

Published2005-06-20

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2005.03.067

openalex_workW2005361088

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