Monte Carlo computation of the Laplace transform of exponential Brownian functionals
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Publication:370901
DOI10.1007/s11009-011-9261-8zbMath1275.65090OpenAlexW2106220393MaRDI QIDQ370901
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
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)
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Uses Software
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