Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals

Nicolas Privault and Wayne Isaac Uy ()
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Wayne Isaac Uy: Nanyang Technological University

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 3, 511-524

Abstract: Abstract This paper is concerned with the Monte Carlo numerical computation of the Laplace transform of exponential Brownian functionals. In addition to the implementation of standard integral formulas, we investigate the use of various probabilistic representations. This involves in particular the simulation of the hyperbolic secant distribution and the use of several variance reduction schemes. The performance of those methods and their conditions of application are compared.

Keywords: Exponential Brownian functionals; Monte Carlo method; Generalized hyperbolic secant distribution; 65C05; 33C10; 60J60; 65C10; 35Q40 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11009-011-9261-8

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