Multilayer heat equations: application to finance (Q2170292)

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Multilayer heat equations: application to finance
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    title
    Multilayer heat equations: application to finance (English)
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    DOI
    10.3934/fmf.2021004
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    author
    Andrey Itkin
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    Dmitry Muravey
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    publication date
    30 August 2022
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    Mathematics Subject Classification ID
    91G60
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    65M99
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    91G20
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    60G40
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    35K05
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    zbMATH DE Number
    7578221
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    zbMATH Keywords
    barrier options
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    American options
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    time-dependent models
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    time-dependent boundaries
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    semi-analytical solution
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    one-factor models
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