Application Mellin transforms to the Black - Scholes equations
Автор: Vasileva T.A., Vasileva O.E.
Журнал: Математическая физика и компьютерное моделирование @mpcm-jvolsu
Рубрика: Прикладная математика
Статья в выпуске: 12, 2009 года.
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In this paper we will consider the Mellin transform derived on Black - Scholes formulae in year 2003 by Panini, Srivastav and Jodar [6; 7]. The authors use Mellin transforms to derive at first an equation for the price of a European put on a single underlying stock. This case will be extended to the Amercan put option. It is assumed, there are no dividends. Nowadays derivative markets become extremely popular, this popularity even exceeds that of the stock exchange [4; 5; 10]. Option price estimation as the most interesting of the derivatives has many approaches and is multifaceted [2; 3; 8]. Authors would like to thank Professor E.I. Vasilev for the target setting and useful discussions.
Короткий адрес: https://sciup.org/14968632
IDR: 14968632
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