Towards the exact simulation using hyperbolic Brownian motion

DOI10.1007/s13160-017-0265-9zbMath1411.91559arXiv1705.00864OpenAlexW2964282885MaRDI QIDQ1684776

Yuri Imamura, Yuuki Ida

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00864

zbMATH Keywords

Brownian motionparametrixhyperbolicexact simulationSABR modelMcKean's kernel

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Probability density function of SDEs with unbounded and path-dependent drift coefficient

Cites Work

• A probabilistic interpretation of the parametrix method
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Semi-groupe du mouvement brownienhyperbolique
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