Exact simulation of Bessel diffusions (Q3068185)

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Exact simulation of Bessel diffusions
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    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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