Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

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Cited In (5)

A general method for analysis and valuation of drawdown risk
Speed and duration of drawdown under general Markov models
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
A general approach for lookback option pricing under Markov models

Uses Software

pymle

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