As a complement to some recent work by Pal and Protter [9], 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.which is valid for every F t ≥ 0, (F t ) measurable, and G K = sup {t : M t = K}. See also 7,8].1.2. The present paper is devoted to the study of the functions:which play an important role in option pricing, as (m (−) K (t)) is the European call price with strike K, and maturity t, associated with the local martingaleis a strict local martingale, that is: a local martingale, which is not a martingale, then the function (m (−) K ) is not in general increasing, or even monotone.1.3. The most well-known example of a strict local martingale is M t = 1/R t , where (R t , t ≥ 0) denotes the BES(3) process, starting from 1, or, by scaling, equivalently from any r > 0. Then, the study of (m (−) K (t)) in this particular case has been undertaken in a remarkable paper by S. Pal and P. Protter [9]; the results of which have strongly motivated the present paper.In the present paper, we take up again the study of this function (m (−) K (t)) in this particular case; we show that:Hence, up to a multiplicative constant (m (−) K (t), t ≥ 0) is a probability density on R + ; we identify the Laplace transform of this probability, and describe it as the law of a certain random variable defined uniquely in terms of BES(3) process. This is done thanks to the Doob h-transform understanding of BES(3) (from Brownian motion, killed when hitting 0), combined with general identity (1). We refer the reader to Section 2 for precise statements. In Section 3, we develop the same kind of study but this time with M t = 1/R (δ−2) t , t ≥ 0, where (R t , t ≥ 0) denotes the BES(δ) process, starting from 1. In Section 4, we present the graphs of the corresponding functions (m (−) K (t), t ≥ 0). 1.4. To summarize, the main point of this work is to use the interpretation of the generalized Black-Scholes quantities in terms of last passage times (formula (1)) in the framework of Bessel processes in order to derive fine properties of the call option process, as a function of maturity, written for the strict local Bessel martingales.