Compute the EEP when the transition density is not available in closed form

Develop a method to compute the risk-neutral expectations in the early exercise premium for time-inhomogeneous models that lack closed-form transition densities, for example by leveraging generalized integral transform techniques to avoid explicit density formulas.

Background

In the decomposition formula, the EEP is expressed via expectations that typically require the transition density of the underlying process. For many time-inhomogeneous models, such densities are not available in closed form, obstructing direct computation.

The authors flag this as an open problem and point to prior work suggesting that generalized integral transform methods may circumvent the need for explicit densities.