Articles liés à Option pricing theory using Mellin transforms: Techniques...

Option pricing theory using Mellin transforms: Techniques for pricing options with the use of Mellin transforms - operational and rigorous approach. - Couverture souple

Kocourek, Pavel

 
9783639356588: Option pricing theory using Mellin transforms: Techniques for pricing options with the use of Mellin transforms - operational and rigorous approach.
Couverture souple
ISBN 10 : 3639356586 ISBN 13 : 9783639356588
Editeur : VDM Verlag Dr. Müller, 2011

Synopsis

This thesis seeks to provide an overview on the use of Mellin transforms in Option pricing and to explain related issues. After introducing some basic concepts of Stochastic analysis and Option pricing, we use Mellin transforms as a tool to uncover formulas for pricing of different types of financial derivatives, such as European vanilla and power options, or the American options. Most of this content can be regarded as a summary of existing results on the use of Mellin transforms in option pricing. The main added value of the thesis is the deeper mathematical analysis which most of the preceding studies were lacking. In fact, although Mellin transforms offer an exceedingly convenient tool under the operational (optimistic) approach, the detailed analysis of its use is rather nontrivial.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2011
Langue
anglais
ISBN 10 
3639356586
ISBN 13 
9783639356588
Reliure
Broché
Nombre de pages
72
Coordonnées du fabricant
non disponible
Personne responsable
non disponible