AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM

DOI10.1142/S0219530507000870zbMath1197.91205OpenAlexW2077235137MaRDI QIDQ3421544

Marianito R. Rodrigo, Rogemar S. Mamon

Publication date: 7 February 2007

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

Full work available at URL: https://doi.org/10.1142/s0219530507000870

zbMATH Keywords

Mellin transformBlack--Scholes kernelBlack--Scholes PDE with time-dependent coefficientsexistence and uniqueness of option pricegeneralized put-call parity

Mathematics Subject Classification ID

Heat equation (35K05) Maximum principles in context of PDEs (35B50) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (7)

Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options ⋮ Calibration of the temporally varying volatility and interest rate functions ⋮ Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms ⋮ Option pricing under time interval driven model ⋮ A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE ⋮ Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics ⋮ A general class of integral transforms and an expression for their convolution formulas

Cites Work

• Semigroup theory applied to options
• A new direct method for solving the Black-Scholes equation
• Pricing perpetual options using Mellin transforms
• An alternative approach to solving the Black-Scholes equation with time-varying parameters
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