Exact simulation of Bessel diffusions (Q3068185)
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scientific article; zbMATH DE number 5836200
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Exact simulation of Bessel diffusions |
scientific article; zbMATH DE number 5836200 |
Statements
Exact simulation of Bessel diffusions (English)
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13 January 2011
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squared Bessel process
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bridge sampling
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first hitting time
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CIR and CEV diffusion models
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confluent hypergeometric diffusions
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financial modeling
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path-dependent options
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randomized quasi-Monte Carlo method
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algorithm
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numerical examples
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Markov processes
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Cox-Ingersoll-Ross model
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mathematical finance
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modeling asset prices
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market indices
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interest rates
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randomized gamma distributions
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0.9115254
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0.89773464
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0.8883084
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0.8852707
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