Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
| Year of publication: |
2003
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|---|---|
| Authors: | Davydov, Dmitry ; Linetsky, Vadim |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 51.2003, 2, p. 185-209
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