The spectral decomposition of the option value

International Journal of Theoretical and Applied Finance

Volumn 7, Issue 3, 2004, Pages 337-384

  Linetsky, Vadim ^a  

^a Northwestern University   (United States)

Author keywords

Barrier options; Diffusion processes; Option pricing; Spectral expansion; Sturm Liouville equation

Indexed keywords

EID: 7444249563     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024904002451     Document Type: Article

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