Towards the exact simulation using hyperbolic Brownian motion

被引：0
|
作者：
Yuuki Ida
Yuri Imamura
机构：
[1] Ritsumeikan University,
[2] Tokyo University of Science,undefined
来源：
Japan Journal of Industrial and Applied Mathematics | 2017年 / 34卷
关键词：
Parametrix; Hyperbolic; Brownian motion; SABR model; McKean’s kernel; Exact simulation; 91G60; 91G80; 32W30;
D O I：
暂无
中图分类号：
学科分类号：
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：10
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