Calculating the Price for Derivative Financial Assets of Bessel Processes Using the Sturm-Liouville Theory
In the paper we apply the spectral theory to find the price for derivatives of financial assets assuming that the processes described are Markov processes and such that can be considered in the Hilbert space L^2 using the Sturm-Liouville theory. Bessel diffusion processes are used in studying Asian...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
PH "INZHEK"
2017-06-01
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| Series: | Problemi Ekonomiki |
| Subjects: | |
| Online Access: | http://www.problecon.com/export_pdf/problems-of-economy-2017-2_0-pages-310_316.pdf |