Exact simulation of Bessel diffusions

DOI10.1515/MCMA.2010.010zbMath1206.65026arXiv0910.4177MaRDI QIDQ3068185

R. N. Makarov, Devin Glew

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Related Items (8)

Backward simulation methods for pricing American options under the CIR process ⋮ A probabilistic proof of an asymptotic formula for the modified Bessel function ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ Forward or backward simulation? A comparative study ⋮ Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts ⋮ On a gateway between continuous and discrete Bessel and Laguerre processes ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS ⋮ Assessing nonresponse bias in a business survey: proxy pattern-mixture analysis for skewed data

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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