Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
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Publication:6147820
DOI10.1007/s10958-022-05890-0arXiv1808.08290OpenAlexW2888368008WikidataQ113901076 ScholiaQ113901076MaRDI QIDQ6147820
Vladislav V. Kravchenko, José Carlos Dias, Sergii M. Torba, Igor V. Kravchenko
Publication date: 1 February 2024
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.08290
Other nonlinear integral equations (45G10) Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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