2017/05/02 by Ida, Yuuki, Imamura, Yuri
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.1705.00864
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.