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

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.
978-3-319-95284-0
CIR process , BESQ process , affine models , Mathematical Finance
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/984281
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