Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing

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

zbMATH Keywords

free boundary problemstransmutation operatorsNeumann series of Bessel functionsRussian options

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Cites Work

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