Art
J-GLOBAL ID：201702268317322703
Reference number：17A1909636
Towards the exact simulation using hyperbolic Brownian motion
双曲型ブラウン運動を使用した正確なシミュレーションに向けて
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Author (2)：
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Material：
Volume：
34
Issue：
3
Page：
833-843
Publication year：
2017
JST Material Number：
L5671A
ISSN：
0916-7005
Document type：
Article
Article type：
原著論文
Country of issue：
Germany, Federal Republic of (DEU)
Language：
ENGLISH (EN)
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Semi thesaurus term：
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
JST classification (1)：
JST classification
Category name(code) classified by JST.
Profit management
Reference (6)：
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Bally, V., Kohatsu-Higa, A.: A probabilistic interpretation of the parametrix method. Ann. Appl. Probab. 25(6), 3095-3138 (2015)
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Davies, E.B.: Heat Kernels and Spectral Theory. Cambridge University Press, Cambridge (1989)
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Gruet, J.-C.: Semi-groupe du mouvement Brownien hyperbolique. Stoch. Stoch. Rep. 56, 53-61 (1996)
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Henry-Labordère, P.: A general asymptotic implied volatility for stochastic volatility models (2005). arXiv:cond-mat/0504317
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Karatzas, I., Shreve, S.E.: Brownian Motion and Stochastic Calculus, 2nd edn. Springer, New York (1991)
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Terms in the title
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