Applications of Eigenfunction Expansions in Continuous-Time Finance
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Publication:2707196
DOI10.1111/1467-9965.00059zbMath1020.91027OpenAlexW1988323602MaRDI QIDQ2707196
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00059
eigenfunction expansionbankruptcyyield curveexit boundaryEuropean-style optionsconstant dollar devidentR. C. Merton
Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of hypergeometric functions (33C90)
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