Pricing perpetual options using Mellin transforms

DOI10.1016/J.AML.2004.03.012zbMATH Open1111.91018OpenAlexW2078752624MaRDI QIDQ2484640FDOQ2484640

Authors: Radha Panini, R. P. Srivastav 

Publication date: 1 August 2005

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2004.03.012

zbMATH Keywords

American put optionFree boundaryPerpetual option

Mathematics Subject Classification ID

Cites Work

• Option pricing with Mellin transforms

Cited In (11)

• 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
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• Title not available (Why is that?)
• Laplace transformation method for the Black-Scholes equation
• Pricing of fixed-strike lookback options on assets with default risk
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• The pricing of vulnerable options with double Mellin transforms
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• The pricing of vulnerable power options with double Mellin transforms
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints

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