Option pricing with Mellin transforms
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Publication:1764950
Cites work
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- scientific article; zbMATH DE number 54305 (Why is no real title available?)
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- Option pricing: A simplified approach
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
Cited in
(55)- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Valuing vulnerable geometric Asian options
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
- Pricing external barrier options under a stochastic volatility model
- The value of power-related options under spectrally negative Lévy processes
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Applications of Hilfer-Prabhakar operator to option pricing financial model
- 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
- Removing non-smoothness in solving Black-Scholes equation using a perturbation method
- 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
- Closed-form pricing formula for exchange option with credit risk
- 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
- Pricing perpetual options using Mellin transforms
- The -hypergeometric stochastic volatility model
- Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- 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
- Z-Transform and preconditioning techniques for option pricing
- Integral transforms and American options: Laplace and Mellin go Green
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
- Some pricing tools for the variance gamma model
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Pricing vulnerable path-dependent options using integral transforms
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- An appropriate approach to pricing European-style options with the Adomian decomposition method
- Summability on Mellin-type nonlinear integral operators
- 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
- PDTM approach to solve Black Scholes equation for powered ML-payoff function
- The pricing of vulnerable power options with double Mellin transforms
- BSM model for ML-payoff function through PDTM
- An approximated European option price under stochastic elasticity of variance using Mellin transforms
- 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
- Closed-form option pricing for exponential Lévy models: a residue approach
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- Valuing options in Heston's stochastic volatility model: another analytical approach
- Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
- The pricing of dynamic fund protection with default risk
- Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
- Valuation of American maximum exchange rate quanto lookback options
- Valuation of American put options under a modified 4/2 stochastic volatility model
- A unified model of SABR and mean-reverting stochastic volatility for derivative pricing
- Life-cycle planning model with inflation and time-varying consumption constraints
- Tighter uncertainty principles associated with the non-isotropic angular Stockwell transform
- Pricing of vulnerable digital exchange options under stochastic interest rate model
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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