Explicit Formulas for Laplace Transforms of Stochastic Integrals
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
July 3, 2006
Abstract: In this article we provide a general identity useful for computing expectations of the form
for diffusion processes X t and certain functions Φ. In the case of CIR and Jacobi diffusions, this identity leads to explicit formulas for the Laplace transform of a multidimensional family of random variables constructed from X t and its integrals.
AMS Classification: 60G09, 91B28.
Keywords: diffusions, Laplace transform, explicit formula, hypergeometric function, CIR process, Jacobi process, mathematical finance.
Books Referenced in this paper: (what is this?)
Download paper (200K PDF) 19 pages