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,...

The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather...

In most practical cases, it is impossible to find an explicit expression for the distribution function of the present value of a sequence of cash flows that are discounted using a stochastic return process.In this paper, we present an easy computable approximation for this distribution function....

In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock...

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...