Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing (Q6147820): Difference between revisions

Latest revision as of 18:53, 30 December 2024

scientific article; zbMATH DE number 7798347

Language	Label	Description	Also known as
English	Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing	scientific article; zbMATH DE number 7798347

Statements

instance of

scholarly article

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title

Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing (English)

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author

Igor V. Kravchenko

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Vladislav V. Kravchenko

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Sergii M. Torba

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José Carlos Dias

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published in

Journal of Mathematical Sciences (New York)

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publication date

1 February 2024

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full work available at URL

https://arxiv.org/abs/1808.08290

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zbMATH Keywords

free boundary problems

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transmutation operators

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Neumann series of Bessel functions

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Russian options

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The Pricing of Options and Corporate Liabilities

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Randomization and the American Put

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Q4098076

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The Numerical Solution of the Inverse Stefan Problem in Two Space Variables

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Complete families of solutions to the heat equation and generalized heat equation in \(R^n\)

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Q3921538

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Q3323133

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\(T\)- and \(D\)-matrix methods for electromagnetic scattering by impedance obstacles

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Arbitrage pricing of Russian options and perpetual lookback options

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Finite expiry Russian options

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Russian options with a finite time horizon

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The method of fundamental solutions for elliptic boundary value problems

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Regularization tools: A Matlab package for analysis and solution of discrete ill-posed problems

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An integral equation representation approach for valuing Russian options with a finite time horizon

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Bachelier-Version of Russian Option with a Finite Time Horizon

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Wave polynomials, transmutations and Cauchy's problem for the Klein-Gordon equation

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Valuing finite-lived Russian options

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Solution of parabolic free boundary problems using transmuted heat polynomials

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Liouville transformation, analytic approximation of transmutation operators and solution of spectral problems

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Representation of solutions to the one-dimensional Schrödinger equation in terms of Neumann series of Bessel functions

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Analytic approximation of solutions of parabolic partial differential equations with variable coefficients

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Spectral parameter power series for Sturm–Liouville problems

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A Neumann series of Bessel functions representation for solutions of Sturm-Liouville equations

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On the Convergence of the Gaver--Stehfest Algorithm

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Q4868577

0 references

Q4905685

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Q5491447

0 references

The Russian option: finite horizon

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Q3378055

0 references

Q2782240

0 references

An approximation technique for the numerical solution of a Stefan problem

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A Method for Calculating Solutions of Parabolic Equations with a Free Boundary

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Expansions in Terms of Heat Polynomials and Associated Functions

0 references

The Russian option: Reduced regret

0 references

Q4845599

0 references

Q4061445

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Analytic solutions of the heat equation

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Identifiers

arXiv ID

1808.08290

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Mathematics Subject Classification ID

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10.1007/S10958-022-05890-0

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Sitelinks

Mathematics(1 entry)

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+Randomization and the American Put
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+The Numerical Solution of the Inverse Stefan Problem in Two Space Variables
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+Complete families of solutions to the heat equation and generalized heat equation in \(R^n\)
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@@ Property / cites work @@
+Q3921538
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+Normal rank
@@ Property / cites work @@
+Q3323133
@@ Property / cites work: Q3323133 / rank @@
+Normal rank
@@ Property / cites work @@
+\(T\)- and \(D\)-matrix methods for electromagnetic scattering by impedance obstacles
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@@ Property / cites work @@
+Arbitrage pricing of Russian options and perpetual lookback options
+Normal rank
@@ Property / cites work @@
+Finite expiry Russian options
@@ Property / cites work: Finite expiry Russian options / rank @@
+Normal rank
@@ Property / cites work @@
+Russian options with a finite time horizon
@@ Property / cites work: Russian options with a finite time horizon / rank @@
+Normal rank
@@ Property / cites work @@
+The method of fundamental solutions for elliptic boundary value problems
+Normal rank
@@ Property / cites work @@
+Regularization tools: A Matlab package for analysis and solution of discrete ill-posed problems
+Normal rank
@@ Property / cites work @@
+An integral equation representation approach for valuing Russian options with a finite time horizon
+Normal rank
@@ Property / cites work @@
+Bachelier-Version of Russian Option with a Finite Time Horizon
+Normal rank
@@ Property / cites work @@
+Wave polynomials, transmutations and Cauchy's problem for the Klein-Gordon equation
+Normal rank
@@ Property / cites work @@
+Valuing finite-lived Russian options
@@ Property / cites work: Valuing finite-lived Russian options / rank @@
+Normal rank
@@ Property / cites work @@
+Solution of parabolic free boundary problems using transmuted heat polynomials
+Normal rank
@@ Property / cites work @@
+Liouville transformation, analytic approximation of transmutation operators and solution of spectral problems
+Normal rank
@@ Property / cites work @@
+Representation of solutions to the one-dimensional Schrödinger equation in terms of Neumann series of Bessel functions
+Normal rank
@@ Property / cites work @@
+Analytic approximation of solutions of parabolic partial differential equations with variable coefficients
+Normal rank
@@ Property / cites work @@
+Spectral parameter power series for Sturm–Liouville problems
+Normal rank
@@ Property / cites work @@
+A Neumann series of Bessel functions representation for solutions of Sturm-Liouville equations
+Normal rank
@@ Property / cites work @@
+On the Convergence of the Gaver--Stehfest Algorithm
+Normal rank
@@ Property / cites work @@
+Q4868577
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+Normal rank
@@ Property / cites work @@
+Q4905685
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@@ Property / cites work @@
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+The Russian option: finite horizon
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+Normal rank
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+Q3378055
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+Normal rank
@@ Property / cites work @@
+Q2782240
@@ Property / cites work: Q2782240 / rank @@
+Normal rank
@@ Property / cites work @@
+An approximation technique for the numerical solution of a Stefan problem
+Normal rank
@@ Property / cites work @@
+A Method for Calculating Solutions of Parabolic Equations with a Free Boundary
+Normal rank
@@ Property / cites work @@
+Expansions in Terms of Heat Polynomials and Associated Functions
+Normal rank
@@ Property / cites work @@
+The Russian option: Reduced regret
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+Normal rank
@@ Property / cites work @@
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+Normal rank
@@ Property / cites work @@
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+Analytic solutions of the heat equation
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