Laplace transform identities for diffusions, with applications to rebates and barrier options

MaRDI QIDQ3534751zbMATH OpenFDO

Authors Hardy Hulley, Eckhard Platen

Publication date 4 November 2008

zbMATH Keywords

transition densitiesdiffusionsLaplace transformsfirst-passage timessquared Bessel processesbarrier optionsreal-world pricingrebatesminimal market model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Laplace transform (44A10)

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Cited in

(5)

• On optimal arbitrage
• Integral transforms and American options: Laplace and Mellin go Green
• Explicit construction of stochastic exponentials with arbitrary expectation k (0,1)
• Omega diffusion risk model with surplus-dependent tax and capital injections
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions

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