PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (Q5242954)
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scientific article; zbMATH DE number 7128190
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION |
scientific article; zbMATH DE number 7128190 |
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PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (English)
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8 November 2019
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double barrier options
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default
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Neumann series of Bessel functions
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Sturm-Liouville equations
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spectral decomposition
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transmutation operators
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