We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modi ed Mellin transforms. We also show...

We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modi ed Mellin transforms. We also show...

Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put options using Mellin transforms. Thereafter, we...

Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put options using Mellin transforms. Thereafter, we...

We prove for totally monotone games defined on the set of Borel sets of a locally compact s-compact topological space a similar decomposition theorem to the famous Yosida-Hewitt's one for finitely additive measures. This way any totally monotone decomposes into a continuous part and a...

We prove for totally monotone games defined on the set of Borel sets of a locally compact sigma-compact topological space a similar decomposition theorem to the famous Yosida-Hewitt's one for finitely additive measures. This way any totally monotone decomposes into a continuous part and a...