Monte Carlo computation of the Laplace transform of exponential Brownian functionals (Q370901)
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scientific article; zbMATH DE number 6209858
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| English | Monte Carlo computation of the Laplace transform of exponential Brownian functionals |
scientific article; zbMATH DE number 6209858 |
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Monte Carlo computation of the Laplace transform of exponential Brownian functionals (English)
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20 September 2013
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exponential Brownian functionals
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Monte Carlo method
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generalized hyperbolic secant distribution
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numerical examples
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Laplace transorm
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0.8026973009109497
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0.7694542407989502
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0.7461300492286682
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0.7434670329093933
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0.7395651340484619
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