AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS

DOI10.7858/EAMJ.2018.017zbMath1440.91037OpenAlexW2945285096MaRDI QIDQ5239770

So-Yeun Kim, Ji-Hun Yoon

Publication date: 22 October 2019

Full work available at URL: http://koreascience.or.kr/journal/view.jsp?kj=E1BGBB&py=2018&vnc=v34n3&sp=239

zbMATH Keywords

Mellin transformOrnstein-Uhlenbeck processmultiscale analysisstochastic elasticity of variance

Mathematics Subject Classification ID

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

Related Items (2)

Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach ⋮ Forecasting the elasticity of variance with LSTM recurrent neural networks

Cites Work

• Unnamed Item
• Option pricing with Mellin transforms
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Stochastic differential equations. An introduction with applications.

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