Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger

Transform analysis and asset pricing for diffusion processes: a recursvie approach
Marc J. Goovaerts, Roger J. A. Laeven and Zhaoning Shang
Abstract
ABSTRACT
Diffusion processes play a major role in continuous-time modeling in economics, particularly in continuous-time finance. In most cases, however, the transition density function of a diffusion process is not available in closed form. Using Feynman-Kac integration, we construct a recursive scheme for the Laplace transform (in time) of the transition density function. This provides a semianalytic and highly accurate solution to a wide range of asset pricing problems. Generalizations of our technique to functionals of non-Gaussian processes are also briefly discussed.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net