Option pricing with Mellin transforms

DOI10.1016/J.MCM.2004.07.008zbMATH Open1112.91037OpenAlexW1994488279MaRDI QIDQ1764950FDOQ1764950

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

• The pricing of options and corporate liabilities
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• Option pricing: A simplified approach
• The Mathematics of Financial Derivatives
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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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Cited In (48)

• Applications of Hilfer-Prabhakar operator to option pricing financial model
• Removing non-smoothness in solving Black-Scholes equation using a perturbation method
• Valuing vulnerable geometric Asian options
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• The \(\alpha\)-hypergeometric stochastic volatility model
• 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
• 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 external barrier options under a stochastic volatility model
• 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
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• PDTM approach to solve Black Scholes equation for powered ML-payoff function
• An appropriate approach to pricing European-style options with the Adomian decomposition method
• 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
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
• An integral equation approach for optimal investment policies with partial reversibility
• 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
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
• The pricing of dynamic fund protection with default risk

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