On expansions for the Black-Scholes prices and hedge parameters

DOI10.1016/j.jmaa.2019.06.001zbMath1422.91674arXiv1809.06736OpenAlexW2890956705MaRDI QIDQ2320050

Jean-Philippe Aguilar

Publication date: 21 August 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.06736

zbMATH Keywords

Mellin transformoption pricingBlack-Scholes formulamultidimensional complex analysisrisk sensitivities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Closed-form option pricing for exponential Lévy models: a residue approach ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ The value of power-related options under spectrally negative Lévy processes ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Mellin transforms and asymptotics: Harmonic sums
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• Multiple Mellin-Barnes integrals as periods of Calabi-Yau manifolds with several moduli
• Studying the multiple Mellin--Barnes integrals by means of multidimensional residues
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion

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