Pricing perpetual options using Mellin transforms
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Publication:2484640
DOI10.1016/J.AML.2004.03.012zbMath1111.91018OpenAlexW2078752624MaRDI QIDQ2484640
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
Related Items (11)
Unnamed Item ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Unnamed Item ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ The pricing of vulnerable options with double Mellin transforms ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints ⋮ Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach ⋮ Unnamed Item ⋮ Pricing of fixed-strike lookback options on assets with default risk ⋮ AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM ⋮ Mellin transform method for European option pricing with Hull-White stochastic interest rate
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