Exact simulation of Bessel diffusions
DOI10.1515/MCMA.2010.010zbMath1206.65026arXiv0910.4177MaRDI QIDQ3068185
Publication date: 13 January 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.4177
algorithmbridge samplingnumerical examplesMarkov processesinterest ratesmathematical financepath-dependent optionsCox-Ingersoll-Ross modelfirst hitting timesquared Bessel processrandomized quasi-Monte Carlo methodfinancial modelingCIR and CEV diffusion modelsconfluent hypergeometric diffusionsmarket indicesmodeling asset pricesrandomized gamma distributions
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Related Items (8)
Cites Work
- A simple generator for discrete log-concave distributions
- Simulating bessel random variables
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
- Path integral pricing of Asian options on state-dependent volatility models
- The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
- On the Bessel distribution and related problems
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