A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
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Publication:2349735
DOI10.1016/S0034-4877(15)30006-9zbMath1321.35076MaRDI QIDQ2349735
Silvestro Fassari, Fabio Rinaldi, Sergio A. Albeverio
Publication date: 17 June 2015
Published in: Reports on Mathematical Physics (Search for Journal in Brave)
heat equation; Brownian motion; option pricing; heat kernel; local time; Feynman-Kac formula; point interactions; Black-Scholes equation
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