Jumping hedges on the strength of the Mellin transform
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Publication:2143532
DOI10.1016/j.rinam.2022.100262zbMath1492.91384MaRDI QIDQ2143532
Marianito R. Rodrigo, Rogemar S. Mamon
Publication date: 31 May 2022
Published in: Results in Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.rinam.2022.100262
Mellin transform; hedging; trading strategy; partial integro-differential equation; jump-diffusion process; financial derivatives
45K05: Integro-partial differential equations
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
60J74: Jump processes on discrete state spaces
Uses Software
Cites Work
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