Monte Carlo computation of the Laplace transform of exponential Brownian functionals (Q370901): Difference between revisions

@@ Property / DOI @@
-.1007/s11009-011-9261-8
@@ Property / DOI: 10.1007/s11009-011-9261-8 / rank @@
-Normal rank
@@ Property / author @@
-Wayne Isaac Tan Uy
@@ Property / author: Wayne Isaac Tan Uy / rank @@
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@@ Property / author @@
+Wayne Isaac Tan Uy
@@ Property / author: Wayne Isaac Tan Uy / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+R10
@@ Property / Mathematics Subject Classification ID: 65R10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+A10
@@ Property / Mathematics Subject Classification ID: 44A10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J60
@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
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@@ Property / zbMATH DE Number @@
+6209858
@@ Property / zbMATH DE Number: 6209858 / rank @@
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@@ Property / zbMATH Keywords @@
+exponential Brownian functionals
@@ Property / zbMATH Keywords: exponential Brownian functionals / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte Carlo method
@@ Property / zbMATH Keywords: Monte Carlo method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized hyperbolic secant distribution
@@ Property / zbMATH Keywords: generalized hyperbolic secant distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+numerical examples
@@ Property / zbMATH Keywords: numerical examples / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Laplace transorm
@@ Property / zbMATH Keywords: Laplace transorm / rank @@
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@@ Property / describes a project that uses @@
+NetNUMPAC
@@ Property / describes a project that uses: NetNUMPAC / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-011-9261-8
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@@ Property / OpenAlex ID @@
+W2106220393
@@ Property / OpenAlex ID: W2106220393 / rank @@
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@@ Property / cites work @@
+Numerical Methods in Finance and Economics
@@ Property / cites work: Numerical Methods in Finance and Economics / rank @@
+Normal rank
@@ Property / cites work @@
+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
+Normal rank
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+Exponential functionals of Brownian motion and disordered systems
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+A simple algorithm for generating random variates with a log-concave density
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+The integral of geometric Brownian motion
@@ Property / cites work: The integral of geometric Brownian motion / rank @@
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+Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
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+Resolution-stationary random number generators
@@ Property / cites work: Resolution-stationary random number generators / rank @@
+Normal rank
@@ Property / cites work @@
+A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS
+Normal rank
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+Spectral Expansions for Asian (Average Price) Options
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+Exponential functionals of Brownian motion. I: Probability laws at fixed time
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@@ Property / cites work @@
+THE DOTHAN PRICING MODEL REVISITED
@@ Property / cites work: THE DOTHAN PRICING MODEL REVISITED / rank @@
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@@ Property / cites work @@
+Q4856171
@@ Property / cites work: Q4856171 / rank @@
+Normal rank
@@ Property / cites work @@
+On some exponential functionals of Brownian motion
+Normal rank
@@ Property / cites work @@
+Q4718464
@@ Property / cites work: Q4718464 / rank @@
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@@ Property / DOI @@
+.1007/S11009-011-9261-8
@@ Property / DOI: 10.1007/S11009-011-9261-8 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:370901