Mellin transform method for European option pricing with Hull-White stochastic interest rate
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Publication:2336691
DOI10.1155/2014/759562zbMath1442.91106OpenAlexW2129837514WikidataQ59052262 ScholiaQ59052262MaRDI QIDQ2336691
Publication date: 19 November 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/759562
Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Option pricing under stochastic interest rates: an empirical investigation
- Option pricing with Mellin transforms
- Pricing perpetual options using Mellin transforms
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
- Stochastic differential equations. An introduction with applications.
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