Towards the exact simulation using hyperbolic Brownian motion

被引：2
|
作者：
Ida, Yuuki [1 ]
Imamura, Yuri [2 ]
机构：
[1] Ritsumeikan Univ, 1-1-1 Noji Higashi, Kusatsu, Shiga 5258577, Japan
[2] Tokyo Univ Sci, Chiyoda Ku, 1-11-2 Fujimi, Tokyo 1020071, Japan
来源：
JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2017年 / 34卷 / 03期
关键词：
Parametrix; Hyperbolic; Brownian motion; SABR model; McKean's kernel; Exact simulation;
D O I：
10.1007/s13160-017-0265-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：833 / 843
页数：11
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