2 papers
math.AP2018
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba +1
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, tran…
q-fin.CP2017
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba +1
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, whic…