Calculating the Price for Derivative Financial Assets of Bessel Processes Using the Sturm-Liouville Theory by Burtnyak Ivan V., Malytska Hanna P.

“…Bessel diffusion processes are used in studying Asian options. We consider the financial flows generated by the Bessel diffusions by expressing them in terms of the system of Bessel functions of the first kind, provided that they take into account the linear combination of the flow and its spatial derivative. …”
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