Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes
Journal Title: Карпатські математичні публікації - Year 2018, Vol 10, Issue 2
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 an (l+r+1) dimensional diffusion in Hilbert spaces. The theorem of closeness estimates of approximate prices is established. We also obtain explicit formulas for derivatives price approximation based on the expansion in eigenfunctions and eigenvalues of self-adjoint operators using boundary value problems for singular and regular perturbations.
Authors and Affiliations
I. Burtnyak, H. P. Malytska
Keywords
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- EP ID EP533017
- DOI 10.15330/cmp.10.2.273-287
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