On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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Publication:972768
DOI10.1016/J.CAM.2010.02.037zbMATH Open1192.91176OpenAlexW2128109737MaRDI QIDQ972768FDOQ972768
Rainer Schöbel, Robert Frontczak
Publication date: 21 May 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.037
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- The pricing of options and corporate liabilities
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- Some mathematical results in the pricing of American options
- The pricing of the American option
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Randomization and the American Put
- Pricing American-style securities using simulation
- Compact finite difference method for American option pricing
- Pricing the American put option: A detailed convergence analysis for binomial models
- Adaptive \(\theta \)-methods for pricing American options
Cited In (15)
- Exponentially-fitted Gauss-Laguerre quadrature rule for integrals over an unbounded interval
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- On convergence of Laplace inversion for the American put option under the CEV model
- Integral transforms and American options: Laplace and Mellin go Green
- Closed-form option pricing for exponential Lévy models: a residue approach
- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- Barrier option under Lévy model: a PIDE and Mellin transform approach
- Title not available (Why is that?)
- Mellin's transform and application to some time series models
- Modified Gauss-Laguerre exponential fitting based formulae
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- The pricing of vulnerable options with double Mellin transforms
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- Closed-form pricing formula for exchange option with credit risk
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