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

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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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MaRDI profile type

MaRDI publication profile

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cites work

Q3996854

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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

0 references

Russian options with a finite time horizon

0 references

The method of fundamental solutions for elliptic boundary value problems

0 references

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

0 references

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

0 references

Bachelier-Version of Russian Option with a Finite Time Horizon

0 references

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

0 references

Valuing finite-lived Russian options

0 references

Solution of parabolic free boundary problems using transmuted heat polynomials

0 references

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

0 references

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

0 references

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

0 references

Spectral parameter power series for Sturm–Liouville problems

0 references

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

0 references

On the Convergence of the Gaver--Stehfest Algorithm

0 references

Q4868577

0 references

Q4905685

0 references

Q5491447

0 references

The Russian option: finite horizon

0 references

Q3378055

0 references

Q2782240

0 references

An approximation technique for the numerical solution of a Stefan problem

0 references

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

0 references

Expansions in Terms of Heat Polynomials and Associated Functions

0 references

The Russian option: Reduced regret

0 references

Q4845599

0 references

Q4061445

0 references

Analytic solutions of the heat equation

0 references

Identifiers

arXiv ID

1808.08290

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DOI

10.1007/s10958-022-05890-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6147820

@@ Property / cites work @@
+Q3996854
@@ Property / cites work: Q3996854 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Q4098076
@@ Property / cites work: Q4098076 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of the Inverse Stefan Problem in Two Space Variables
+Normal rank
@@ Property / cites work @@
+Complete families of solutions to the heat equation and generalized heat equation in \(R^n\)
+Normal rank
@@ Property / cites work @@
+Q3921538
@@ Property / cites work: Q3921538 / rank @@
+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
+Normal rank
@@ 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
@@ Property / cites work: Q4868577 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5491447
@@ Property / cites work: Q5491447 / rank @@
+Normal rank
@@ Property / cites work @@
+The Russian option: finite horizon
@@ Property / cites work: The Russian option: finite horizon / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+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
@@ Property / cites work: The Russian option: Reduced regret / rank @@
+Normal rank
@@ Property / cites work @@
+Q4845599
@@ Property / cites work: Q4845599 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4061445
@@ Property / cites work: Q4061445 / rank @@
+Normal rank
@@ Property / cites work @@
+Analytic solutions of the heat equation
@@ Property / cites work: Analytic solutions of the heat equation / rank @@
+Normal rank