A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH

DOI10.7858/eamj.2016.022zbMath1354.91150OpenAlexW2474176224MaRDI QIDQ3178447

Junkee Jeon, Ji-Hun Yoon

Publication date: 14 July 2016

Published in: East Asian mathematical journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7858/eamj.2016.022

zbMATH Keywords

Mellin transformmethod of imagesfloating lookback option

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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