A Mellin transform approach to barrier option pricing

DOI10.1093/IMAMAN/DPY016OpenAlexW2914258218WikidataQ128900585 ScholiaQ128900585MaRDI QIDQ5125033

Simona Sanfelici, Chiara Guardasoni, Marianito R. Rodrigo

Publication date: 30 September 2020

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpy016

zbMATH Keywords

Mellin transformpartial differential equationsbarrier options

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (5)

Jumping hedges on the strength of the Mellin transform ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Closed-form option pricing for exponential Lévy models: a residue approach

This page was built for publication: A Mellin transform approach to barrier option pricing