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Towards the Exact Simulation Using Hyperbolic Brownian Motion

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  • Yuuki Ida
  • Yuri Imamura

Abstract

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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  • Yuuki Ida & Yuri Imamura, 2017. "Towards the Exact Simulation Using Hyperbolic Brownian Motion," Papers 1705.00864, arXiv.org.
    • Handle: RePEc:arx:papers:1705.00864
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    File URL: http://arxiv.org/pdf/1705.00864
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    Cited by:

    1. Taguchi, Dai & Tanaka, Akihiro, 2020. "Probability density function of SDEs with unbounded and path-dependent drift coefficient," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5243-5289.

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