Pricing double barrier options on homogeneous diffusions : a Neumann series of Bessel functions representation
Igor V. Kravchenko, Vladislav V. Kravchenko and Sergii M. Torba, José Carlos Dias
| Year of publication: |
2019
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|---|---|
| Authors: | Kravchenko, Igor V. ; Kravchenko, Vladislav V. ; Torba, Sergii M. ; Dias, José Carlos |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 6, p. 1-24
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| Subject: | Double barrier options | default | Neumann series of Bessel functions | Sturm-Liouville equations | spectral decomposition | transmutation operators | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500304 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153074