On certain integral functionals of squared Bessel processes
For a squared Bessel process, , the Laplace transforms of joint laws of are studied where
is the first hitting time of by and is a random variable measurable with respect to the history
of X until . A subset of these results are then used to solve the associated small ball problems for and to determine a Chung's law of the iterated logarithm. is also considered as a purely discontinuous increasing Markov process and its infinitesimal generator is found. The findings are then used to price a class of exotic derivatives on interest rates and to determine the asymptotics
for the prices of some put options that are only slightly in-the-money.
Keywords: Bessel processes; Chung's law of iterated logarithm; first passage times; interest rate derivatives; last passage times; modified Bessel functions; non-homogeneous Feller jump process; small deviations; subordinator; time reversal
Document Type: Research Article
Affiliations: Department of Statistics, London School of Economics and Political Science, Columbia House, Houghton Street, London,WC2A 2AE, UK
Publication date: 02 November 2015
- Access Key
- Free content
- Partial Free content
- New content
- Open access content
- Partial Open access content
- Subscribed content
- Partial Subscribed content
- Free trial content