Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing


This paper proposes a new method for efficiently and accurately price finite horizon Russian options. The method is based on the application of the transmutation operators theory and allows the construction of a complete... [ view full abstract ]


  1. Igor Kravchenko (ISCTE-IUL)
  2. Vladislav Kravchenko (CINVESTAV del IPN)
  3. Sergii Torba (CINVESTAV del IPN)
  4. José Carlos Dias (ISCTE-IUL)

Topic Areas

Computational Finance , Optimal Stopping , Options


FR-A-UI » American-style derivatives (10:00 - Friday, 20th July, Ui Chadhain)

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