منابع مشابه
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
This paper develops an eigenfunction expansion approach to pricing options on scalar diffusion processes. All derivative securities are unbundled into portfolios of primitive securities termed eigensecurities. Eigensecurities are eigenvectors of the pricing operator (present value operator). Pricing is then immediate by the linearity property of the pricing operator and the eigenvector property...
متن کاملCalculation of Coherent Wiggler Radiation Using Eigenfunction Expansion Method
An analytic method originated by Y. H. Chin was extended to calculate the electromagnetic fields and the longitudinal impedance due to coherent wiggler radiation (CWR) in a rectangular chamber. The method used dyadic Green functions based on eigenfunction expansion method in electromagnetic theory and was rigorous for the case of straight chamber. We re-derived the theory and did find the full ...
متن کاملEigenfunction Expansion Based Galerkin Approaches for Stochastic Finite Element Analysis
A novel approach is suggested to compute the response of discretized stochastic elliptic partial differential equations by utilising the stochastic finite element analysis method. The mathematical form of the approach is established by projecting random scalars onto a random basis. By implementing an eigendecomposition of a system’s stiffness matrix, the random scalars and random basis are comp...
متن کاملEvaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach∗
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function...
متن کاملAnalysis of Nonlinear Elastic Membrane Oscillations by Eigenfunction Expansion
In this paper we examine a spatially two–dimensional forced, damped Boussinesq equation with quadratic nonlinearity. This equation describes small, nonlinear oscillations of a circular, elastic membrane in the presence of viscosity. The eigenfunction expansion method is used for the purpose of constructing solutions for small initial data analytically. The constructive method enables us to perf...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 1956
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.42.8.519