Moments and Mellin transform of the asset price in Stein and Stein model and option pricing

DOI10.1007/S10986-018-9380-9zbMATH Open1391.60205OpenAlexW2788923256MaRDI QIDQ1754533FDOQ1754533

Authors: Jacek Jakubowski, Zofia Michalik, Maciej Wiśniewolski 

Publication date: 31 May 2018

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-018-9380-9

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zbMATH Keywords

Mellin transformmomentsfast Fourier transformcorrelated Brownian motionspower optionsself-quanto optionssquared radial Ornstein-Uhlenbeck processStein and Stein model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

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• Pricing Asian options in financial markets using Mellin transforms

Cited In (7)

• An alternative form to calibrate the correlated Stein-Stein option pricing model
• Moments of the asset price for the Barndorff-Nielsen and Shephard model
• Application of Mellin transforms in determination the probability distribution of the stochastic volatility models
• Valuation of power options under Heston's stochastic volatility model
• An approximated European option price under stochastic elasticity of variance using Mellin transforms
• Stochastic volatility models and Kelvin waves
• Algebraic solution of the Stein-Stein model for stochastic volatility

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