The pricing of vulnerable options with double Mellin transforms
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Publication:465177
DOI10.1016/j.jmaa.2014.09.015zbMath1299.91156OpenAlexW2044550654MaRDI QIDQ465177
Publication date: 31 October 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.09.015
Special integral transforms (Legendre, Hilbert, etc.) (44A15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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Cites Work
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Option pricing with Mellin transforms
- Pricing vulnerable options under a stochastic volatility model
- Pricing perpetual options using Mellin transforms
- Pricing Interest-Rate-Derivative Securities
- Stochastic differential equations. An introduction with applications.
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