Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
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References listed on IDEAS
- David Heath & Eckhard Platen, 2002.
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- Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
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Keywordsdiffusions; transition densities; first-passage times; Laplce transformations; squared bessel processes; minimal market model; real-world pricing; rebates; barrier options;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-20 (All new papers)
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