Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
H. Gzyl, M. Milev, A. Tagliani
| Year of publication: |
February 2017
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|---|---|
| Authors: | Gzyl, Henryk ; Milev, M. ; Tagliani, Aldo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 20.2017, p. 281-288
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| Subject: | Barrier options | Black-Scholes equation | Discontinuous payoff | Fractional moments | Maximum entropy | Mellin transform | Optionspreistheorie | Option pricing theory | Entropie | Entropy | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.10.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011806950