On the Bessel Distribution and Related Problems
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DOI: 10.1023/A:1004152916478
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Cited by:
- Roberto León-González, 2019.
"Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 899-920, September.
- Roberto Leon-Gonzalez, 2014. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," Working Paper series 19_14, Rimini Centre for Economic Analysis.
- Roberto Leon-Gonzalez, 2014. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 14-12, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez, 2018. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 17-16, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez, 2015. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 15-17, National Graduate Institute for Policy Studies.
- T. Pellegrino & P. Sabino, 2015. "Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 761-772, May.
- Makarov Roman N. & Glew Devin, 2010. "Exact simulation of Bessel diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 283-306, January.
- Árpád Baricz, 2014. "Remarks on a parameter estimation for von Mises–Fisher distributions," Computational Statistics, Springer, vol. 29(3), pages 891-894, June.
- Ian Iscoe & Asif Lakhany, 2011. "Adaptive Simulation of the Heston Model," Papers 1111.6067, arXiv.org.
- Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
- Jan Baldeaux & Dale Roberts, 2012.
"Quasi-Monte Carlo methods for the Heston model,"
Papers
1202.3217, arXiv.org, revised May 2012.
- Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carol Methods for the Heston Model," Research Paper Series 307, Quantitative Finance Research Centre, University of Technology, Sydney.
- Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
- Mosayebi Omshi, E. & Shemehsavar, S. & Grall, A., 2024. "An intelligent maintenance policy for a latent degradation system," Reliability Engineering and System Safety, Elsevier, vol. 242(C).
- S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
- Kurt Hornik & Bettina Grün, 2014. "On maximum likelihood estimation of the concentration parameter of von Mises–Fisher distributions," Computational Statistics, Springer, vol. 29(5), pages 945-957, October.
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Keywords
Bessel distribution; randomized gamma distribution; von Mises-Fisher distribution; Bessel quotient; simulation; path integral;All these keywords.
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