Pricing perpetual options using Mellin transforms
نویسندگان
چکیده
منابع مشابه
Pricing Options in Jump Diffusion Models Using Mellin Transforms
This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integral transform. The solution is a single integral expression independent of the distribution of the jump size. We also derive analytical expressions for the Greeks. The results are implemented and compa...
متن کاملPricing Parisian Options Using Laplace Transforms
In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion.
متن کاملPricing double barrier Parisian options using Laplace transforms
In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when the function to be recovered is sufficiently smooth. Henceforth, we study the regularity of the Paris...
متن کاملMellin Transforms: Harmonic Sums
My assignment is going to introduce the Mellin transform and its application on harmonic sums [1]. Hjalmar Mellin(1854-1933, [2] for a summary of his works) gave his name to the Mellin transform, a close relative of the integral transforms of Laplace and Fourier. Mellin transform is useful to the asymptotic analysis of a large class of sums that arise in combinatorial mathematics, discrete prob...
متن کاملPRICING STOCK OPTIONS USING FUZZY SETS
We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2005
ISSN: 0893-9659
DOI: 10.1016/j.aml.2004.03.012