Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
DOI10.1017/S0956792516000516zbMATH Open1378.91121OpenAlexW2559828508MaRDI QIDQ4600764FDOQ4600764
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
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Cites Work
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- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
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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