On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
From MaRDI portal
(Redirected from Publication:972768)
Recommendations
- scientific article; zbMATH DE number 7158115
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Integral transforms and American options: Laplace and Mellin go Green
- Laplace Transforms and the American Call Option
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
Cites work
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3376145 (Why is no real title available?)
- A fast high-order finite difference algorithm for pricing American options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Adaptive \(\theta \)-methods for pricing American options
- American-style derivatives. Valuation and computation.
- Binomial models for option valuation - examining and improving convergence
- Compact finite difference method for American option pricing
- Function theory 1
- Monte Carlo methods for security pricing
- On the pricing of American options
- On the theory of option pricing
- Optimal Stopping and the American Put
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- Option pricing with Mellin transforms
- Option pricing: A simplified approach
- Pricing American-style securities using simulation
- Pricing the American put option: A detailed convergence analysis for binomial models
- Randomization and the American put
- Smooth convergence in the binomial model
- Some mathematical results in the pricing of American options
- Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
- The pricing of options and corporate liabilities
- The pricing of the American option
Cited in
(15)- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- The pricing of vulnerable options with double Mellin transforms
- Integral transforms and American options: Laplace and Mellin go Green
- Mellin's transform and application to some time series models
- Exponentially-fitted Gauss-Laguerre quadrature rule for integrals over an unbounded interval
- Closed-form option pricing for exponential Lévy models: a residue approach
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- 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
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- The pricing of vulnerable power options with double Mellin transforms
- Closed-form pricing formula for exchange option with credit risk
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- Barrier option under Lévy model: a PIDE and Mellin transform approach
- Modified Gauss-Laguerre exponential fitting based formulae
This page was built for publication: On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q972768)
