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"Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach."

Dmitry Davydov, Vadim Linetsky (2003)

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DOI: 10.1287/OPRE.51.2.185.12782

access: closed

type: Journal Article

metadata version: 2020-03-31

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Dmitry Davydov, Vadim Linetsky:
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach. Oper. Res. 51(2): 185-209 (2003)

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