Ray methods for free boundary problems

DOI10.1090/S0033-569X-06-00993-4MaRDI QIDQ3429097zbMATH OpenOpenAlexFDO

Authors J. A. Addison, J. R. King, S. D. Howison

Publication date 30 March 2007

Published in Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0033-569x-06-00993-4

zbMATH Keywords

approximationBlack-Scholes problemray methodsStefan problemWKB ansatz

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Degenerate parabolic equations (35K65) Free boundary problems for PDEs (35R35) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63) Asymptotic analysis for problems in thermodynamics and heat transfer (80M35)

Cites work

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Cited in

(5)

• Matched asymptotic expansions in financial engineering
• Asymptotics of barrier option pricing under the CEV process
• scientific article; zbMATH DE number 4162524 (Why is no real title available?)
• Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
• On a free boundary problem for an American put option under the CEV process

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