Abstract
We derive closed form expressions for the Laplace transform of certain quadratic Brownian functionals based on the Ornstein-Uhlenbeck process, using both Fredholm determinants and PDE arguments. Classical and new bond pricing formulas in quadratic Brownian models are obtained as particular cases.
Citation
Nicolas Privault. Hailing Wu. "COMPUTATION OF FREDHOLM DETERMINANTS FOR QUADRATIC ORNSTEIN-UHLENBECK FUNCTIONALS." Taiwanese J. Math. 19 (5) 1541 - 1559, 2015. https://doi.org/10.11650/tjm.19.2015.4072
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