Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms

DOI10.1017/S0956792516000516MaRDI QIDQ4600764zbMATH OpenOpenAlexFDO

Authors T. Ray Li, Marianito R. Rodrigo

Publication date 12 January 2018

Published in European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0956792516000516

zbMATH Keywords

Mellin transformjump-diffusion modelBlack-Scholes partial differential equationDupire equationimplied volatility estimation

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 1034230 (Why is no real title available?)
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• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Mathematical models of financial derivatives
• Numerical solution of stochastic differential equations with jumps in finance
• On implied volatility for options -- some reasons to smile and more to correct
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
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• The pricing of options and corporate liabilities

Cited in

(5)

• Closed-form option pricing for exponential Lévy models: a residue approach
• Jumping hedges on the strength of the Mellin transform
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• A Laplace transform approach to direct and inverse problems for multi-compartment models

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