Abstract
The solution of the FokkerPlanck equation for exponential Brownian functionals usually involves spectral expansions that are difficult to compute explicitly. In this paper, we propose a direct solution based on heat kernels and a new integral representation for the square modulus of the Gamma function. A financial application to bond pricing in the Dothan model is also presented. © 2010 World Scientific Publishing Company.
| Original language | English |
|---|---|
| Pages (from-to) | 287-304 |
| Journal | Analysis and Applications |
| Volume | 8 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Jul 2010 |
Research Keywords
- Bessel functions
- Brownian exponential functionals
- FokkerPlanck equation
- spectral expansions
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