Direct Inversion for Chi-Square Sampling, the Squared Bessel Process, and Applications
Updated
Updated · arxiv.org · Oct 20
Direct Inversion for Chi-Square Sampling, the Squared Bessel Process, and Applications
1 articles · Updated · arxiv.org · Oct 20
Summary
Researchers have developed a new direct inversion method for simulating squared Bessel processes, enabling efficient and accurate non-central chi-square sampling.
The technique uses a two-dimensional Chebyshev expansion, treating the degrees of freedom as a variable, and is particularly effective for small values.
This advancement supports rapid and robust calibration of financial models, including the Cox-Ingersoll-Ross process, with applications in finance and option pricing.