AKAHORI, JIRÔ; MACRINA, ANDREA - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250007-1
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive, time-dependent and decreasing weight function, and...