A Mellin transform approach to pricing barrier options under stochastic elasticity of variance-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

Published:2022-11-21 Issue:2 Volume:39 Page:160-176
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stoch Models Bus & Ind

Author:

Kim Hyun‐Gyoon¹^ORCID,Cao Jiling²,Kim Jeong‐Hoon¹^ORCID,Zhang Wenjun²

Affiliation:

1. Department of Mathematics Yonsei University Seoul Republic of Korea

2. Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Auckland New Zealand

Funder

National Research Foundation of Korea

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2731

Reference19 articles.

1. Theory of Rational Option Pricing

2. A new direct method for solving the Black–Scholes equation

3. The pricing of vulnerable options with double Mellin transforms

4. A Mellin transform approach to barrier option pricing

5. A multiscale correction to the Black-Scholes formula

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP