Revisiting Feller Diffusion: Derivation and Simulation

Autor:	Munasinghe, Ranjiva, Kanthan, Leslie, Kossinna, Pathum
Rok vydání:	2019
Předmět:	Mathematics - Probability Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation. Comment: 18 pages, 3 figures, 6 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1905.10737 Zobrazit plný text záznamu View this record from Arxiv