Abstract
The theoretical bases of this paper are the theory of spectral analysis and the theory of singular and regular perturbations. We obtain an approximate price of Ornstein-Uhlenbeck double barrier options with multidimensional stochastic diffusion as expansion in eigenfunctions using infinitesimal generators of a $(l+r+1)$-dimensional diffusion in Hilbert spaces. The theorem of accuracy estimation of options prices approximation is established. We also obtain explicit formulas for derivatives price based on the expansion in eigenfunctions and eigenvalues of self-adjoint operators using boundary value problems for singular and regular perturbations.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.