Exact simulation of Bessel diffusions

@inproceedings{Makarov2010ExactSO,
  title={Exact simulation of Bessel diffusions},
  author={R. N. Makarov and D. Glew},
  booktitle={Monte Carlo Methods Appl.},
  year={2010}
}
  • R. N. Makarov, D. Glew
  • Published in Monte Carlo Methods Appl. 2010
  • Mathematics, Economics, Computer Science
Abstract We consider the exact path sampling of the squared Bessel process and other continuous-time Markov processes, such as the Cox–Ingersoll–Ross model, constant elasticity of variance diffusion model, and confluent hypergeometric diffusions, which can all be obtained from a squared Bessel process by using a change of variable, time and scale transformation, and change of measure. All these diffusions are broadly used in mathematical finance for modeling asset prices, market indices, and… Expand
25 Citations
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS
  • 8
  • PDF
Exact Simulation of Occupation Times
  • 2
  • PDF
Forward or backward simulation? A comparative study
  • 6
  • Highly Influenced
Easy Gram–Charlier Valuations of Options
  • 2
  • Highly Influenced
Backward simulation methods for pricing American options under the CIR process
  • 1
...
1
2
3
...

References

SHOWING 1-10 OF 21 REFERENCES
PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
  • 15
Path integral pricing of Asian options on state-dependent volatility models
  • 9
Handbook of Brownian Motion - Facts and Formulae
  • 1,692
  • PDF
On the Bessel Distribution and Related Problems
  • 64
  • Highly Influential
SIMULATING BESSEL RANDOM VARIABLES
  • 49
  • PDF
Continuous random variate generation by fast numerical inversion
  • 78
  • PDF
Tricomi and Kummer functions in occurrence, waiting time and exceedance statistics
  • 4
An Introduction To Probability Theory And Its Applications
  • 10,864
  • PDF
A simple generator for discrete log-concave distributions
  • L. Devroye
  • Mathematics, Computer Science
  • Computing
  • 2006
  • 26
  • PDF
...
1
2
3
...