scientific article; zbMATH DE number 6924811

DOI10.4134/CKMS.C170060zbMath1395.91450MaRDI QIDQ4582807

Junkee Jeon, Ji-Hun Yoon

Publication date: 24 August 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Mellin transformmethod of imagesdiscount barrier optionsdiscount double barrier options

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• Pricing vulnerable path-dependent options using integral transforms
• The pricing of vulnerable options with double Mellin transforms
• Pricing derivatives with barriers in a stochastic interest rate environment
• Stochastic elasticity of variance with stochastic interest rates
• Valuing vulnerable geometric Asian options
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Multiscale Stochastic Volatility Asymptotics
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Stochastic differential equations. An introduction with applications.

This page was built for publication: