Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533)
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scientific article; zbMATH DE number 6877085
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| English | Moments and Mellin transform of the asset price in Stein and Stein model and option pricing |
scientific article; zbMATH DE number 6877085 |
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Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (English)
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31 May 2018
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Stein and Stein model
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correlated Brownian motions
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moments
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squared radial Ornstein-Uhlenbeck process
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Mellin transform
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fast Fourier transform
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power options
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self-quanto options
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0.7890713810920715
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0.7879445552825928
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0.7872998118400574
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0.7845965623855591
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0.7648856043815613
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