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...

Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variables such that dQdP and ψ are defined in terms of a weak solution X to a d-dimensional stochastic differential equation. Motivated by the problem of endogenous completeness in financial economics...

It is shown that some convolution semigroups of infinitely divisible measures are invariant under certain random integral mappings. We characterize the coincidence of random integrals for s-selfdecomposable and selfdecomposable distributions. Some applications are given to the moving average...