THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015)
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scientific article; zbMATH DE number 2139688
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE |
scientific article; zbMATH DE number 2139688 |
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THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (English)
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28 February 2005
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Option pricing
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barrier options
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diffusion processes
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spectral expansion
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Sturm-Liouville equation
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