Laplace transform identities for diffusions, with applications to rebates and barrier options (Q3534751)
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scientific article; zbMATH DE number 5361729
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| English | Laplace transform identities for diffusions, with applications to rebates and barrier options |
scientific article; zbMATH DE number 5361729 |
Statements
4 November 2008
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diffusions
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transition densities
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first-passage times
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Laplace transforms
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squared Bessel processes
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minimal market model
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real-world pricing
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rebates
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barrier options
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0.7831588983535767
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0.7575396299362183
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0.754084587097168
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0.7442026138305664
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0.7379962801933289
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