On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options

DOI10.1016/j.cam.2010.02.037zbMath1192.91176OpenAlexW2128109737MaRDI QIDQ972768

Rainer Schöbel, Robert Frontczak

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2010.02.037

zbMATH Keywords

integral representationAmerican call optionmodified Mellin transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

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Cites Work

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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Binomial models for option valuation - examining and improving convergence
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