Monte Carlo computation of the Laplace transform of exponential Brownian functionals
DOI10.1007/S11009-011-9261-8zbMATH Open1275.65090OpenAlexW2106220393MaRDI QIDQ370901FDOQ370901
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
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numerical examplesMonte Carlo methodgeneralized hyperbolic secant distributionexponential Brownian functionalsLaplace transorm
Monte Carlo methods (65C05) Diffusion processes (60J60) Laplace transform (44A10) Numerical methods for integral transforms (65R10)
Cites Work
- The integral of geometric Brownian motion
- On some exponential functionals of Brownian motion
- Exponential functionals of Brownian motion and disordered systems
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Title not available (Why is that?)
- Spectral Expansions for Asian (Average Price) Options
- The Dothan pricing model revisited
- A direct solution to the Fokker-Planck equation for exponential Brownian functionals
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Title not available (Why is that?)
- A simple algorithm for generating random variates with a log-concave density
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- Numerical Methods in Finance and Economics
- Resolution-stationary random number generators
Cited In (5)
- Optimal importance sampling for continuous Gaussian fields
- Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
- Closed form modeling of evolutionary rates by exponential Brownian functionals
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
Uses Software
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