Option pricing with Mellin transforms

DOI10.1016/J.MCM.2004.07.008MaRDI QIDQ1764950zbMATH OpenOpenAlexFDO

Authors R. P. Srivastav, Radha Panini

Publication date 22 February 2005

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2004.07.008

zbMATH Keywords

Mellin transformBlack-Scholes equationConvolutionFree boundaryBasket put option

Mathematics Subject Classification ID

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

Cites work

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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Option pricing: A simplified approach
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(48)

• Applications of Hilfer-Prabhakar operator to option pricing financial model
• Valuing vulnerable geometric Asian options
• Removing non-smoothness in solving Black-Scholes equation using a perturbation method
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• The -hypergeometric stochastic volatility model
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Pricing external barrier options under a stochastic volatility model
• On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics
• Variational inequality arising from variable annuity with mean reversion environment
• Pricing perpetual options using Mellin transforms
• Some pricing tools for the variance gamma model
• On convergence of Laplace inversion for the American put option under the CEV model
• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• Integral transforms and American options: Laplace and Mellin go Green
• Closed-form option pricing for exponential Lévy models: a residue approach
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• An appropriate approach to pricing European-style options with the Adomian decomposition method
• PDTM approach to solve Black Scholes equation for powered ML-payoff function
• Barrier option under Lévy model: a PIDE and Mellin transform approach
• Solving American option pricing models by the front fixing method: numerical analysis and computing
• The value of power-related options under spectrally negative Lévy processes
• Pricing of fixed-strike lookback options on assets with default risk
• An approximated European option price under stochastic elasticity of variance using Mellin transforms
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• Pricing vulnerable path-dependent options using integral transforms
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• The pricing of vulnerable options with double Mellin transforms
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• Valuing options in Heston's stochastic volatility model: another analytical approach
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Summability on Mellin-type nonlinear integral operators
• The pricing of vulnerable power options with double Mellin transforms
• An integral equation approach for optimal investment policies with partial reversibility
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• Closed-form pricing formula for exchange option with credit risk
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Valuation of the American put option as a free boundary problem through a high-order difference scheme
• Z-Transform and preconditioning techniques for option pricing
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
• BSM model for ML-payoff function through PDTM
• The pricing of dynamic fund protection with default risk
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints

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