On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options

DOI10.1016/J.CAM.2010.02.037zbMath1192.91176OpenAlexW2128109737MaRDI QIDQ972768

Rainer Schöbel, Robert Frontczak

Publication date: 21 May 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.037

zbMATH Keywords

integral representationAmerican call optionmodified Mellin transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Barrier option under Lévy model: a PIDE and Mellin transform approach ⋮ On convergence of Laplace inversion for the American put option under the CEV model ⋮ PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ Modified Gauss-Laguerre exponential fitting based formulae ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk ⋮ The pricing of vulnerable options with double Mellin transforms ⋮ Mellin's transform and application to some time series models ⋮ Exponentially-fitted Gauss-Laguerre quadrature rule for integrals over an unbounded interval ⋮ Unnamed Item ⋮ Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models ⋮ Mellin transform method for European option pricing with Hull-White stochastic interest rate

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the theory of option pricing
• On the pricing of American options
• A fast high-order finite difference algorithm for pricing American options
• Adaptive \(\theta \)-methods for pricing American options
• The pricing of the American option
• Pricing the American put option: A detailed convergence analysis for binomial models
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Option pricing with Mellin transforms
• Compact finite difference method for American option pricing
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• Smooth convergence in the binomial model
• Some mathematical results in the pricing of American options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Binomial models for option valuation - examining and improving convergence
• Randomization and the American Put
• Option pricing: A simplified approach
• Function theory 1
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