Using the path-integral formalism we develop an accurate and easy-to-compute semi-analytical approximation to transition probabilities and Arrow-Debreu densities for arbitrary diffusions. We illustrate the accuracy of the method by presenting results for the Black-Karasinski model for which the...

We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities...