Option pricing with Mellin transforms
From MaRDI portal
Publication:1764950
DOI10.1016/j.mcm.2004.07.008zbMath1112.91037OpenAlexW1994488279MaRDI QIDQ1764950
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
Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (45)
The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield ⋮ Barrier option under Lévy model: a PIDE and Mellin transform approach ⋮ On convergence of Laplace inversion for the American put option under the CEV model ⋮ PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS ⋮ Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Pricing vulnerable path-dependent options using integral 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 ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics ⋮ Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ Applications of Hilfer-Prabhakar operator to option pricing financial model ⋮ Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS ⋮ An integral equation approach for optimal investment policies with partial reversibility ⋮ A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates ⋮ The pricing of vulnerable options with double Mellin transforms ⋮ Solving American option pricing models by the front fixing method: numerical analysis and computing ⋮ Summability on Mellin-type nonlinear integral operators ⋮ PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function ⋮ Removing non-smoothness in solving Black-Scholes equation using a perturbation method ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model ⋮ The pricing of dynamic fund protection with default risk ⋮ Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function ⋮ Pricing perpetual options using Mellin transforms ⋮ Valuing vulnerable geometric Asian options ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints ⋮ Unnamed Item ⋮ Pricing external barrier options under a stochastic volatility model ⋮ BSM model for ML-payoff function through PDTM ⋮ The value of power-related options under spectrally negative Lévy processes ⋮ Pricing of fixed-strike lookback options on assets with default risk ⋮ Series representation of the pricing formula for the European option driven by space-time fractional diffusion ⋮ Mellin transform method for European option pricing with Hull-White stochastic interest rate
Cites Work
This page was built for publication: Option pricing with Mellin transforms
