Pages that link to "Item:Q1764950"

The following pages link to Option pricing with Mellin transforms (Q1764950):

Displaying 48 items.

• The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
• Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
• On convergence of Laplace inversion for the American put option under the CEV model (Q277189) (← links)
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation (Q344266) (← links)
• Pricing vulnerable path-dependent options using integral transforms (Q344273) (← links)
• The pricing of vulnerable options with double Mellin transforms (Q465177) (← links)
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846) (← links)
• Valuing options in Heston's stochastic volatility model: another analytical approach (Q642746) (← links)
• The pricing of dynamic fund protection with default risk (Q679581) (← links)
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
• Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
• Valuing vulnerable geometric Asian options (Q2006638) (← links)
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints (Q2024617) (← links)
• Pricing external barrier options under a stochastic volatility model (Q2029429) (← links)
• The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield (Q2120709) (← links)
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (Q2165386) (← links)
• An integral equation representation approach for valuing Russian options with a finite time horizon (Q2198865) (← links)
• Applications of Hilfer-Prabhakar operator to option pricing financial model (Q2209191) (← links)
• An integral equation approach for optimal investment policies with partial reversibility (Q2213041) (← links)
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599) (← links)
• Removing non-smoothness in solving Black-Scholes equation using a perturbation method (Q2233096) (← links)
• Pricing of fixed-strike lookback options on assets with default risk (Q2298860) (← links)
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion (Q2318158) (← links)
• Mellin transform method for European option pricing with Hull-White stochastic interest rate (Q2336691) (← links)
• Closed-form pricing formula for exchange option with credit risk (Q2410409) (← links)
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend (Q2426081) (← links)
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (Q2471607) (← links)
• Pricing perpetual options using Mellin transforms (Q2484640) (← links)
• Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach (Q2666525) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
• Integral transforms and American options: Laplace and Mellin go Green (Q2921636) (← links)
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options (Q3189132) (← links)
• SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333) (← links)
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (Q3527432) (← links)
• AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD (Q4607627) (← links)
• Summability on Mellin-type nonlinear integral operators (Q4634285) (← links)
• PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function (Q5076649) (← links)
• (Q5094642) (← links)
• BSM model for ML-payoff function through PDTM (Q5213031) (← links)
• AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS (Q5239770) (← links)
• On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics (Q6042678) (← links)
• Variational inequality arising from variable annuity with mean reversion environment (Q6142192) (← links)
• Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk (Q6161979) (← links)
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach (Q6495739) (← links)