Transitional Densities of Diffusion Processes: A New Approach to Solving the Fokker-Planck Equation

A.S. Hurn; J.I. Jeisman; K.A. Lindsay

doi:10.3905/jod.2007.686424

Transitional Densities of Diffusion Processes

A New Approach to Solving the Fokker-Planck Equation

A.S. Hurn, J.I. Jeisman and K.A. Lindsay

The Journal of Derivatives Summer 2007, 14 (4) 86-94; DOI: https://doi.org/10.3905/jod.2007.686424

A.S. Hurn

A professor of econometrics in the School of Economics and Finance, Queensland University of Technology in Brisbane, Australia.

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For correspondence: s.hurn@qut.edu.au

J.I. Jeisman

A research fellow in the School of Economics and Finance, Queensland University of Technology in Brisbane, Australia.

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For correspondence: j.jeisman@qut.edu.au

K.A. Lindsay

A professor of mathematics in the Department of Mathematics, University of Glasgow in Glasgow, Scotland.

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For correspondence: kal@maths.gla.ac.uk

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Transitional Densities of Diffusion Processes

A.S. Hurn, J.I. Jeisman, K.A. Lindsay

The Journal of Derivatives May 2007, 14 (4) 86-94; DOI: 10.3905/jod.2007.686424

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Transitional Densities of Diffusion Processes

A.S. Hurn, J.I. Jeisman, K.A. Lindsay

The Journal of Derivatives May 2007, 14 (4) 86-94; DOI: 10.3905/jod.2007.686424

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