Option pricing with Levy process using Mellin Transform
نویسنده
چکیده
In this paper, we use Mellin transform to get the expression for the free boundary an price of an American finite-lived option, when the underlying is govern by the Levy process. We have also derived the free boundary and price of an American perpetual put as the limit of the preceded finite-lived option. We then show how to compute the price of an American option on a basket of stocks using Mellin transform of several variables.
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