scientific article; zbMATH DE number 7158115

zbMath1443.91287MaRDI QIDQ5212203

Sunday Emmanuel Fadugba, Chiedu T. Nwozo

Publication date: 27 January 2020

Full work available at URL: http://pjm.ppu.edu/sites/default/files/papers/PJM_October2019_371to385.pdf

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

zbMATH Keywords

Mellin transformsmooth pasting conditiongeometric Wiener processperpetual American put option

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing and hedging power options
• Valuation of power option for uncertain financial market
• Pricing perpetual options using Mellin transforms
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