Option pricing with Mellin transnforms-Reference-Cited by-同舟云学术

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Option pricing with Mellin transnforms

Published:2004-07 Issue:1-2 Volume:40 Page:43-56
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Panini R.,Srivastav R.P.

Publisher

Elsevier BV

Subject

Computer Science Applications,Modelling and Simulation

Reference19 articles.

1. Investments;Sharpe,1999

2. The Mathematics of Financial Derivatives: A Student Introduction;Wilmott,1995

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Theory of rational option pricing;Merton;Bell Journal of Economics and Management Science,1973

5. The valuation of American put options;Brennan;Journal of Finance,1977

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2. Barrier option pricing under a mean-reverting process using conditional Monte Carlo simulation (MCS).;AIP Conference Proceedings;2024

3. SOLUTION OF BLACK-SCHOLES EQUATION FOR STANDARD POWER EUROPEAN OPTIONS WITH DISCRETE DIVIDEND PAYMENT;Eurasian Journal of Mathematical and Computer Applications;2023-12

4. Pricing Path-Dependent Options under Stochastic Volatility via Mellin Transform;Journal of Risk and Financial Management;2023-10-20

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