Pricing options on scalar diffusions: An eigenfunction expansion approach

Operations Research

Volumn 51, Issue 2, 2003, Pages 185-209

  Davydov, Dmitry ^a   Linetsky, Vadim ^b  

^a Equities Quantitative Strategies   (United States)

^b Northwestern University   (United States)

Author keywords

Finance, asset pricing: option pricing, CEV model, CIR model; Finance, securities: barrier options; Probability, diffusion: spectral theory, barrier crossing, generalized Bessel process

Indexed keywords

CONSTANT ELASTICITY OF VARIANCE (CEV); SCALAR DIFFUSION PROCESSES;

BOUNDARY CONDITIONS; DIFFERENTIAL EQUATIONS; EIGENVALUES AND EIGENFUNCTIONS; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; MONTE CARLO METHODS; PROBABILITY; PROBLEM SOLVING;

FINANCE;

EID: 1042285609     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.51.2.185.12782     Document Type: Article

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