Integral transforms and American options: Laplace and Mellin go Green (Q2921636)
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scientific article; zbMATH DE number 6354797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integral transforms and American options: Laplace and Mellin go Green |
scientific article; zbMATH DE number 6354797 |
Statements
13 October 2014
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American options
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integral transform
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Laplace transform
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Mellin transform
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free boundary
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0.8957528
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0.8821878
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0.8585923
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0.8350496
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0.8346707
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Integral transforms and American options: Laplace and Mellin go Green (English)
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The authors apply the Laplace and Mellin integral transforms to study the free boundary problem for the Black-Scholes-Merton PDE describing the price of American-style options. They show that both transforms produce solutions and integral equations which are equivalent to those obtained by the Green's function approach.
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