Monte Carlo computation of the Laplace transform of exponential Brownian functionals

DOI10.1007/S11009-011-9261-8MaRDI QIDQ370901zbMATH OpenOpenAlexFDO

Authors Nicolas Privault, Wayne Isaac Tan Uy

Publication date 20 September 2013

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9261-8

zbMATH Keywords

numerical examplesMonte Carlo methodgeneralized hyperbolic secant distributionexponential Brownian functionalsLaplace transorm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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Cites work

• scientific article; zbMATH DE number 954255 (Why is no real title available?)
• scientific article; zbMATH DE number 819734 (Why is no real title available?)
• A direct solution to the Fokker-Planck equation for exponential Brownian functionals
• A simple algorithm for generating random variates with a log-concave density
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• Exponential functionals of Brownian motion and disordered systems
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
• Numerical Methods in Finance and Economics
• On some exponential functionals of Brownian motion
• Resolution-stationary random number generators
• Spectral Expansions for Asian (Average Price) Options
• The Dothan pricing model revisited
• The integral of geometric Brownian motion

Cited in

(5)

• Optimal importance sampling for continuous Gaussian fields
• Optimal importance sampling for the Laplace transform of exponential Brownian functionals
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Closed form modeling of evolutionary rates by exponential Brownian functionals

Describes a project that uses

Uses Software

• NetNUMPAC

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