Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
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Publication:889625
DOI10.1007/s00780-015-0271-1zbMath1416.60079OpenAlexW1603717180MaRDI QIDQ889625
Publication date: 9 November 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0271-1
Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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