Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images

DOI10.4134/CKMS.C170060MaRDI QIDQ4582807zbMATH OpenFDO

Authors Junkee Jeon, Ji-Hun Yoon

Publication date 24 August 2018

Full work available at URL https://doi.org/10.4134/CKMS.C170060

zbMATH Keywords

discount barrier optionsdiscount double barrier optionsMellin transformmethod of images

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

Recommendations

• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• An actuarial approach to pricing barrier options
• An explicit analytic formula for pricing barrier options with regime switching
• Pricing discrete barrier options under stochastic volatility
• Pricing derivatives with barriers in a stochastic interest rate environment

Cites work

• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 5228515 (Why is no real title available?)
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Multiscale Stochastic Volatility Asymptotics
• Pricing derivatives with barriers in a stochastic interest rate environment
• Pricing vulnerable path-dependent options using integral transforms
• Stochastic differential equations. An introduction with applications.
• Stochastic elasticity of variance with stochastic interest rates
• The pricing of vulnerable options with double Mellin transforms
• Valuing vulnerable geometric Asian options

Cited in

(3)

• A new integral equation approach for pricing American-style barrier options with rebates
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Pricing the bank's triggered financial products based on Fourier transform method

This page was built for publication: Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4582807)