Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/19344

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DC Field	Value	Language
dc.contributor.author	Dassios, A	-
dc.contributor.author	Wei Lim, J	-
dc.contributor.author	Qu, Y	-
dc.date.accessioned	2019-10-18T13:17:50Z	-
dc.date.available	2019-10-18T13:17:50Z	-
dc.date.issued	2020-05-21	-
dc.identifier.citation	Dassios, A., Lim, J.W. and Qu, Y. (2020) 'Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds', Mathematical Finance, 30 (4), pp. 1497 - 1526. doi: 10.1111/mafi.12248.	en_US
dc.identifier.issn	0960-1627	-
dc.identifier.uri	https://bura.brunel.ac.uk/handle/2438/19344	-
dc.format.extent	1497 - 1526	-
dc.format.medium	Print-Electronic	-
dc.language.iso	en	en_US
dc.publisher	Wiley	en_US
dc.subject	Azéma martingale	en_US
dc.subject	Parisian stopping time	en_US
dc.subject	Cox-Ingersoll-Ross process	en_US
dc.subject	Bessel process	en_US
dc.subject	Monte Carlo simulation	en_US
dc.title	Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds	en_US
dc.type	Article	en_US
dc.identifier.doi	https://doi.org/10.1111/mafi.12248	-
dc.relation.isPartOf	Mathematical Finance	-
pubs.issue	4	-
pubs.publication-status	Published	-
pubs.volume	30	-
dc.identifier.eissn	1467-9965	-
Appears in Collections:	Dept of Mathematics Research Papers

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