Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan - In: Insurance: Mathematics and Economics 49 (2011) 2, pp. 240-248
In this paper, we develop a recursive method to derive an exact numerical and nearly analytical representation of the Laplace transform of the transition density function with respect to the time variable for time-homogeneous diffusion processes. We further apply this recursion algorithm to the...