In a recent paper, Salminen and Yor (2004b) relate the distribution of the Dufresne's reflected perpetuity to the hitting time of a reflected Bessel process. In this contribution, we adapt the results of Salminen and Yor (2004b) in several ways. First, we use spectral theory to obtain a series...

Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was successfully used for the pricing of a number of derivative securities. In the present contribution, we introduce this approach to the field of...

In this paper, we investigate the transition probabilities for diffusion processes. In a first part, we show how transition probabilities for rather general diffusion processes can always be expressed by means of a path integral. For several classical models, an exact calculation is possible,...

In this paper, we investigate the transition probabilities for diffusion processes. In a first part, we show how transition probabilities for rather general diffusion processes can always be expressed by means of a path integral. For several classical models, an exact calculation is possible,...

In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of δ-function perturbations. First, we show that results about infinitely repulsive δ-function are...

Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was successfully used for the pricing of a number of derivative securities. In the present contribution, we introduce this approach to the field of...

Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Young and DeWitt-Morette (1986) [8], we propose...