Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms

DOI10.1017/S0956792516000516zbMath1378.91121OpenAlexW2559828508MaRDI QIDQ4600764

T. Ray Li, Marianito R. Rodrigo

Publication date: 12 January 2018

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

Full work available at URL: https://doi.org/10.1017/s0956792516000516

zbMATH Keywords

Mellin transformjump-diffusion modelBlack-Scholes partial differential equationDupire equationimplied volatility estimation

Mathematics Subject Classification ID

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

Related Items (4)

Jumping hedges on the strength of the Mellin transform ⋮ A Laplace transform approach to direct and inverse problems for multi-compartment models ⋮ Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ Closed-form option pricing for exponential Lévy models: a residue approach

Cites Work

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