The explicit Laplace transform for the Wishart process
Pricing of Securities
2013-08-21 v5 Probability
Computational Finance
Risk Management
Abstract
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.
Cite
@article{arxiv.1107.2748,
title = {The explicit Laplace transform for the Wishart process},
author = {Alessandro Gnoatto and Martino Grasselli},
journal= {arXiv preprint arXiv:1107.2748},
year = {2013}
}
Comments
Accepted on: Journal of Applied Probability 51(3), 2014