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- Published online February 21, 2020.
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- Alexander Lipton
- is chief technical officer at SilaMoney in Portland, OR, visiting professor and Dean’s Fellow in The Jerusalem School of Business Administration at The Hebrew University of Jerusalem, Israel, and a Fellow in Connection Science and Engineering at Massachusetts Institute of Technology in Cambridge MA. (alexlipt{at}mit.edu)
- Vadim Kaushansky
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Physics and Derivatives: On Three Important Problems in Mathematical Finance
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- Article
- Abstract
- The American Put Option
- The Structural Default Problem
- First Time Hitting of an Ornstein–Uhlenbeck Process
- Article Structure
- THE METHOD OF HEAT POTENTIALS
- THE AMERICAN PUT OPTION
- THE STRUCTURAL DEFAULT PROBLEM
- FIRST HITTING TIME DENSITY FOR AN ORNSTEIN–UHLENBECK PROCESS
- CONCLUSION
- ADDITIONAL READING
- ACKNOWLEDGMENT
- APPENDIX A
- ENDNOTES
- REFERENCES
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