Bos, L. P.; Ware, A. F.; Pavlov, B. S. - In: Quantitative Finance 2 (2002) 5, pp. 337-345
We consider a risky asset following a mean-reverting stochastic process of the form [image omitted] We show that the (singular) diffusion equation which gives the value of a European option on S can be represented, upon expanding in Laguerre polynomials, by a tridiagonal infinite matrix. We...