THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

DOI10.1142/S0219024904002451zbMath1107.91051MaRDI QIDQ4653015

Vadim Linetsky

Publication date: 28 February 2005

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

zbMATH Keywords

spectral expansion; Sturm-Liouville equation; diffusion processes; barrier options; Option pricing

Mathematics Subject Classification ID

34L40: Particular ordinary differential operators (Dirac, one-dimensional Schrödinger, etc.)

34B24: Sturm-Liouville theory

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