تقرير
Towards the Exact Simulation Using Hyperbolic Brownian Motion
| العنوان: | Towards the Exact Simulation Using Hyperbolic Brownian Motion |
|---|---|
| المؤلفون: | Yuuki Ida, Yuri Imamura |
| المصدر: | arXiv.org, Papers. |
| الوصف: | 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. |
| Original Identifier: | 1705.00864 |
| نوع الوثيقة: | redif-paper |
| اللغة: | English |
| الإتاحة: | https://ideas.repec.org/p/arx/papers/1705.00864.html |
| رقم الأكسشن: | edsrep.p.arx.papers.1705.00864 |
| قاعدة البيانات: | RePEc |
| الوصف غير متاح. |