Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS)
Work
Year: 2013
Type: article
Abstract: In this article we investigate the hitting time of some given boundaries for Bessel processes. The main motivation comes from mathematical finance when dealing with volatility models, but the results ... more
Authors Mâdâlina Deaconu, Samuel Herrmann
Institutions Institut Élie Cartan de Lorraine, Université de Lorraine, Institut de Mathématiques de Bourgogne, Université de Bourgogne, Institut de Mathématiques de Bordeaux
Cites: 22
Cited by: 23
Related to: 10
FWCI: 4.28
Citation percentile (by year/subfield): 92.45
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze