Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
type: Item
instance of: scholarly article
title: Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
zbMATH Open document ID: 1391.60205
author: Jacek Jakubowski
author: Zofia Michalik
author: Maciej Wiśniewolski
published in: Lithuanian Mathematical Journal
publication date: 2018-05-31T00:00:00Z
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6877085
zbMATH Keywords: Stein and Stein model
zbMATH Keywords: correlated Brownian motions
zbMATH Keywords: moments
zbMATH Keywords: squared radial Ornstein-Uhlenbeck process
zbMATH Keywords: Mellin transform
zbMATH Keywords: fast Fourier transform
zbMATH Keywords: power options
zbMATH Keywords: self-quanto options
MaRDI profile type: Publication
full work available at URL: s10986-018-9380-9
OpenAlex ID: W2788923256
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DOI: 10.1007/S10986-018-9380-9
description: scientific article; zbMATH DE number 6877085