  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 can also be used in optimal
control problems. The aim here is to construct a new and efficient algorithm in
order to approach this hitting time. As an application we will consider the
hitting time of a given level for the Cox-Ingersoll-Ross process. The main
tools we use are on one side, an adaptation of the method of images to this
particular situation and on the other side, the connection that exists between
Cox-Ingersoll-Ross processes and Bessel processes.
