Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Kravchenko, I., Kravchenko, V.  V., Torba, S.  M. & Dias, J. C. (2022). Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing. Journal of Mathematical Sciences. 266, 353-377
Exportar Referência (IEEE) 
I. V. Kravchenko et al.,  "Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing", in Journal of Mathematical Sciences, vol. 266, pp. 353-377, 2022
Exportar BibTeX 
@article{kravchenko2022_1732202862955,
	author = "Kravchenko, I. and Kravchenko, V.  V. and Torba, S.  M. and Dias, J. C.",
	title = "Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing",
	journal = "Journal of Mathematical Sciences",
	year = "2022",
	volume = "266",
	number = "",
	doi = "10.1007/s10958-022-05890-0",
	pages = "353-377",
	url = "https://www.springer.com/journal/10958"
}
Exportar RIS 
TY  - JOUR
TI  - Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
T2  - Journal of Mathematical Sciences
VL  - 266
AU  - Kravchenko, I.
AU  - Kravchenko, V.  V.
AU  - Torba, S.  M.
AU  - Dias, J. C.
PY  - 2022
SP  - 353-377
SN  - 1072-3374
DO  - 10.1007/s10958-022-05890-0
UR  - https://www.springer.com/journal/10958
AB  - 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.
ER  -