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Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS)
2 references·0 citing·8 second hop
Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS) (2013)Hitting time for Bessel processes—walk on…A survey and some generalizations of Bessel processes (2003)A survey and some generalizat…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Skorokhod embedding problem and its offspring (2004)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)A jump to default extended CEV model: an application of Bessel processes (2006)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003A survey and some generalizations of Bessel processes305 cited

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