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.
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Privault, N., Uy, W.I. Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals. Methodol Comput Appl Probab 15, 511–524 (2013). https://doi.org/10.1007/s11009-011-9261-8
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DOI: https://doi.org/10.1007/s11009-011-9261-8