THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015)

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scientific article; zbMATH DE number 2139688
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THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
scientific article; zbMATH DE number 2139688

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    THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (English)
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    28 February 2005
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    Option pricing
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    barrier options
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    diffusion processes
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    spectral expansion
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    Sturm-Liouville equation
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