Laplace transform identities for diffusions, with applications to rebates and barrier options
zbMATH Open1153.60381MaRDI QIDQ3534751FDOQ3534751
Publication date: 4 November 2008
Recommendations
- Pricing double barrier options using Laplace transforms
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Laplace transforms for the first hitting time of a Brownian motion
- First hitting time of integral diffusions and applications
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
transition densitiesdiffusionsLaplace transformsfirst-passage timessquared Bessel processesbarrier optionsreal-world pricingrebatesminimal market model
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)
Cited In (5)
- Integral transforms and American options: Laplace and Mellin go Green
- On optimal arbitrage
- Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\)
- Omega diffusion risk model with surplus-dependent tax and capital injections
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
This page was built for publication: Laplace transform identities for diffusions, with applications to rebates and barrier options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3534751)
