English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

This paper develops a method for solving free boundary problems fortime-homogeneous diffusions. We combine the complete exponential system ofsolutions for the heat equation, transmutation operators and recentlydiscovered Neumann series of Bessel functions representation for solutions ofSturm-Liouville equations to construct a complete system of solutions for theconsidered partial differential equations. The conceptual algorithm for theapplication of the method is presented. The valuation of Russian options withfinite horizon is used as a numerical illustration. The solution underdifferent horizons is computed and compared to the results that appear in theliterature.

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