{
  "id": "0808.3402",
  "version": "v1",
  "published": "2008-08-25T20:15:32.000Z",
  "updated": "2008-08-25T20:15:32.000Z",
  "title": "Call option prices based on Bessel processes",
  "authors": [
    "Ju-Yi Yen",
    "Marc Yor"
  ],
  "comment": "14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)",
  "categories": [
    "math.PR"
  ],
  "abstract": "As a complement to some recent work by Pal and Protter, \"Strict local martingales, bubbles, and no early exercise\", we show that the call option prices associated with the Bessel strict local martingales are integrable over time, and we discuss the probability densities obtained thus.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-08-25T20:15:32.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "bessel processes",
      "bessel strict local martingales",
      "probability densities",
      "option prices",
      "early exercise"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0808.3402Y"
    }
  }
}