THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

DOI10.1142/S0219024904002451zbMath1107.91051OpenAlexW2101346572MaRDI QIDQ4653015

Vadim Linetsky

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002451

zbMATH Keywords

spectral expansionSturm-Liouville equationdiffusion processesbarrier optionsOption pricing

Mathematics Subject Classification ID

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