Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
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Publication:2103028
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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
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
- Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
- A general approach for lookback option pricing under Markov models
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