paper

Towards the Exact Simulation Using Hyperbolic Brownian Motion

arXiv:1705.00864

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.

Towards the Exact Simulation Using Hyperbolic Brownian Motion · wovepaper