Rational approximation to Neumann series of Bessel functions

1992 ◽  
Vol 3 (1) ◽  
pp. 235-244 ◽  
Author(s):  
N. Hayek ◽  
P. González-Vera ◽  
F. Pérez-Acosta
Keyword(s):  
Rational Approximation ◽  
Bessel Functions ◽  
Neumann Series

Neumann series of Bessel functions

2012 ◽  
Vol 23 (7) ◽  
pp. 529-538 ◽  
Author(s):  
Árpád Baricz ◽  
Dragana Jankov ◽  
Tibor K. Pogány
Keyword(s):  
Bessel Functions ◽  
Neumann Series

scholarly journals A Neumann series of Bessel functions representation for solutions of perturbed Bessel equations

2017 ◽  
Vol 97 (5) ◽  
pp. 677-704 ◽  
Author(s):  
Vladislav V. Kravchenko ◽  
Sergii M. Torba ◽  
Raúl Castillo-Pérez
Keyword(s):  
Bessel Functions ◽  
Neumann Series

scholarly journals PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION

2019 ◽  
Vol 22 (06) ◽  
pp. 1950030 ◽  
Author(s):  
IGOR V. KRAVCHENKO ◽  
VLADISLAV V. KRAVCHENKO ◽  
SERGII M. TORBA ◽  
JOSÉ CARLOS DIAS
Keyword(s):  
Numerical Method ◽  
Bessel Functions ◽  
Transition Density ◽  
Neumann Series ◽  
Barrier Options ◽  
Computational Power ◽  
Double Barrier ◽  
Knock Out ◽  
One Dimensional ◽  
Empirical Regularities

This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional time-homogeneous diffusions, even for the cases where the corresponding transition density is not known. The proposed numerical method is shown to be efficient and simple to implement. To illustrate the flexibility and computational power of the algorithm, we develop an extended jump to default model that is able to capture several empirical regularities commonly observed in the literature.

scholarly journals On the coefficients of Neumann series of Bessel functions

2011 ◽  
Vol 380 (2) ◽  
pp. 628-631 ◽  
Author(s):  
Dragana Jankov ◽  
Tibor K. Pogány ◽  
Endre Süli
Keyword(s):  
Bessel Functions ◽  
Neumann Series
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