Application of the transmutation operators to parabolic boundary and free boundary problems

A numerical method for solving parabolic free boundary problems will be presented. The method is based on recent results from transmutation operators theory allowing one to efficiently construct complete systems of solutions... [ view full abstract ]

A numerical method for solving parabolic free boundary problems will be presented. The method is based on recent results from transmutation operators theory allowing one to efficiently construct complete systems of solutions for the parabolic equation, from the corresponding one for the heat equation such as heat polynomials and trigonometric basis. The scheme for the implementation algorithm will also be presented. These techniques can be directly applied to path dependent options.