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A new method of pricing multi-options using Mellin transforms and Integral equations
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP).
2009 (English)Independent thesis Advanced level (degree of Master (One Year)), 40 credits / 60 HE creditsStudent thesis
Abstract [en]

In this thesis a new method for the option pricing will be introduced with

the help of the Mellin transforms. Firstly, the Mellin transform techniques for

options on a single underlying stock is presented. After that basket options

will be considered. Finally, an improvement of existing numerical results

applied to Mellin transforms for 1-basket and 2-basket American Put Option

will be discussed concisely. Our approach does not require either variable

transformations or solving diusion equations.

Place, publisher, year, edition, pages
2009. , p. 55
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-3075OAI: oai:DiVA.org:hh-3075DiVA, id: diva2:241287
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2009-10-06 Created: 2009-10-01 Last updated: 2009-10-26Bibliographically approved

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fulltext(458 kB)667 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf