Pricing vulnerable path-dependent options using integral transforms

DOI10.1016/j.cam.2016.09.024zbMath1410.91453OpenAlexW2527224502MaRDI QIDQ344273

Junkee Jeon, Ji-Hun Yoon, Myungjoo Kang

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.024

zbMATH Keywords

double Mellin transformmethod of imagevulnerable barrier optionvulnerable double barrier optionvulnerable lookback option

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Pricing vulnerable options under a stochastic volatility model
• A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
• QUANTO LOOKBACK OPTIONS
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Stochastic differential equations. An introduction with applications.

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