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

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dc.contributor.author Hulley, Hardy en_US
dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor Stettner, L en_US
dc.date.accessioned 2010-05-28T09:58:24Z
dc.date.available 2010-05-28T09:58:24Z
dc.date.issued 2008 en_US
dc.identifier 2008002011 en_US
dc.identifier.citation Hulley Hardy and Platen Eckhard 2008, 'Laplace transform identities for diffusions, with applications to rebates and barrier options', Polska Akademia Nauk, Warszawa, Poland, pp. 139-157. en_US
dc.identifier.issn 0137-6934 en_US
dc.identifier.other E1 en_US
dc.identifier.uri http://hdl.handle.net/10453/10679
dc.description.abstract Using a simple integral identity, we derive general expressions for the Laplace transform of the transition density of the process, if killing or reflecting boundaries are specified. We also obtain a number of useful expressions for the Laplace transforms of some functions of first-passage times for the diffusion. These results are applied to the special case of squared Bessel processes with killing or reflecting boundaries. In particular, we demonstrate how the above-mentioned integral identity enables us to derive the transition density of a squared Bessel process killed at the origin, without the need to invert a Laplace transform. Finally, as an application, we consider the problem of pricing barrier options on an index described by the minimal market model. en_US
dc.language en_US
dc.publisher Polska Akademia Nauk en_US
dc.title Laplace transform identities for diffusions, with applications to rebates and barrier options en_US
dc.parent Banach Centre Publications: Advances in Mathematics of Finance en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Warszawa, Poland en_US
dc.identifier.startpage 139 en_US
dc.identifier.endpage 157 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 040635 en_US
dc.personcode 970685 en_US
dc.percentage 50 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom General AMaMeF Conference and Banach Centre Conference en_US
dc.date.activity 20070430 en_US
dc.location.activity Bedlewo, Poland en_US
dc.description.keywords en_US
dc.staffid en_US
dc.staffid 970685 en_US


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