Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach.

Dmitry Davydov Vadim Linetsky

Published in: Oper. Res. (2003)

Keyphrases

vector valued
option pricing
black scholes model
double exponential
diffusion processes
anisotropic diffusion
brownian motion
scale space
dynamic pricing
stock price
scale spaces
convertible bonds