We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call ...
We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call ...
This thesis is concerned with the application of the Mellin integral trans-
form to specific problems in the theory of option pricing. We study both,
initial-boundary and free-boundary problems. The resulting partial ...
Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas ...
We are concerned with the valuation of European options in Heston's stochastic
volatility model with correlation. Based on Mellin transforms we present
new closed-form solutions for the price of European options and ...
