Towards the exact simulation using hyperbolic Brownian motion
From MaRDI portal
(Redirected from Publication:1684776)
Abstract: In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic volatility models. We work on a condition on the drift which dramatically simplifies the proof.
Recommendations
- Semi-groupe du mouvement brownienhyperbolique
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
- Gamma expansion of the Heston stochastic volatility model
- Exact simulation of occupation times
Cites work
- A probabilistic interpretation of the parametrix method
- Exponential functionals of Brownian motion. II: Some related diffusion processes
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 194234 (Why is no real title available?)
- Semi-groupe du mouvement brownienhyperbolique
Cited in
(7)- Simulation of Brownian motion by truncated multiplicative functions
- \(\varepsilon\)-strong simulation of the Brownian path
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Exact simulation of Bessel diffusions
- scientific article; zbMATH DE number 4058580 (Why is no real title available?)
- Improved Simulation for the Killed Brownian Motion in a Cone
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
This page was built for publication: Towards the exact simulation using hyperbolic Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1684776)
