This chapter aims presents the deep relationships between the Cox-Ingersoll-Ross (CIR) type-processes, the Squared Bessel (BESQ) processes and the family of affine processes, according to specific dynamics for the dividend structure behind the market scenarios, aiming at deriving pricing formulas in individual markets as well as analytical solvable or numerical tractable, schemes for dividend processes in volatility stabilized markets.
Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance
Luca Di Persio
;Luca Prezioso
2018-01-01
Abstract
This chapter aims presents the deep relationships between the Cox-Ingersoll-Ross (CIR) type-processes, the Squared Bessel (BESQ) processes and the family of affine processes, according to specific dynamics for the dividend structure behind the market scenarios, aiming at deriving pricing formulas in individual markets as well as analytical solvable or numerical tractable, schemes for dividend processes in volatility stabilized markets.
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