English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
Título Revista
Journal of Mathematical Sciences
Ano (publicação definitiva)
2022
Língua
Inglês
País
Estados Unidos da América
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Abstract/Resumo
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, transmutation operators and recently discovered Neumann series of Bessel functions representation for solutions of Sturm-Liouville equations to construct a complete system of solutions for the considered partial differential equations. The conceptual algorithm for the application of the method is presented. The valuation of Russian options with finite horizon is used as a numerical illustration. The solution under different horizons is computed and compared to the results that appear in the literature.
Agradecimentos/Acknowledgements
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Palavras-chave
Free boundary problems,Transmutation operators,Neumann series of Bessel functions,Russian options
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
| 075–02–2022–893 | Centro de Investigación y de Estudios Avanzados del Instituto Politécnico Naciona |
| 284470 | Consejo Nacional de Ciencia y Tecnología |
| 222478 | Consejo Nacional de Ciencia y Tecnología |
