Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

DOI10.1287/opre.51.2.185.12782zbMath1163.91391MaRDI QIDQ3635184

Vadim Linetsky, Dmitry Davydov

Publication date: 5 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2fd91db3883e812d2eecd2ac85cd9d24ead4146c

Mathematics Subject Classification ID

34L10: Eigenfunctions, eigenfunction expansions, completeness of eigenfunctions of ordinary differential operators

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