scientific article; zbMATH DE number 7567506

DOI10.14317/JAMI.2021.677MaRDI QIDQ5094642

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Publication date: 4 August 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingMellin transformsdefault riskpower optionMonte-Carlo simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The pricing of vulnerable options with double Mellin transforms
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Pricing and hedging power options
• Valuation of power option for uncertain financial market
• Option pricing with Mellin transforms
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing vulnerable options under a stochastic volatility model
• Pricing perpetual options using Mellin transforms
• Stochastic differential equations. An introduction with applications.

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