An integral equation representation approach for valuing Russian options with a finite time horizon
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文摘

We describe a general analytic solution for the inhomogeneous Black–Scholes partial differential equation with mixed boundary conditions using Mellin transform techniques.

We derive integral equation satisfied by Russian option values by using the analytic formula.

We present some numerical solutions and plots of the integral equation of Russian options using recursive integration methods.

We also demonstrate the computational accuracy and efficiency of our method compared to other competing approaches.

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