Mellin transform method for European option pricing with Hull-White stochastic interest rate

DOI10.1155/2014/759562zbMath1442.91106DBLPjournals/jam/Yoon14aOpenAlexW2129837514WikidataQ59052262 ScholiaQ59052262MaRDI QIDQ2336691

Ji-Hun Yoon

Publication date: 19 November 2019

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

Full work available at URL: https://doi.org/10.1155/2014/759562

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense ⋮ AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Pricing vulnerable path-dependent options using integral transforms ⋮ Unnamed Item ⋮ Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Finite horizon portfolio selection with a negative wealth constraint ⋮ An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model ⋮ Some properties concerning the analysis of generalized Wright function ⋮ Valuing vulnerable geometric Asian options ⋮ Pricing external barrier options under a stochastic volatility model ⋮ Unnamed Item ⋮ Pricing of fixed-strike lookback options on assets with default risk ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option ⋮ Analytic valuation of European continuous-installment barrier options

Cites Work

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• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Option pricing under stochastic interest rates: an empirical investigation
• Option pricing with Mellin transforms
• Pricing perpetual options using Mellin transforms
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Stochastic differential equations. An introduction with applications.

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