Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Mellin transform"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Integral representation
4
Mellin transform
4
Optionspreistheorie
4
Analysis
3
Theorie
3
American call option
2
American put option
2
European option
2
Free boundary
2
Modified Mellin transform
2
Power option
2
Stochastic volatility
2
External barrier option
1
Externalities
1
Externer Effekt
1
Method of images
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Option pricing theory
1
Option trading
1
Optionsgeschäft
1
Stochastischer Prozess
1
Triple Mellin transform
1
Volatilität
1
more ...
less ...
Online availability
All
Free
7
Type of publication
All
Book / Working Paper
6
Article
1
Type of publication (narrower categories)
All
Working Paper
3
Article in journal
1
Aufsatz in Zeitschrift
1
Language
All
English
7
Author
All
Frontczak, Robert
6
Schöbel, Rainer
4
Kim, Donghyun
1
Yoon, Ji-Hun
1
Institution
All
Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen
3
Published in...
All
Tübinger Diskussionsbeiträge
6
Computational economics
1
Source
All
EconStor
3
RePEc
3
ECONIS (ZBW)
1
Showing
1
-
7
of
7
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Analytic method for pricing vulnerable external barrier options
Kim, Donghyun
;
Yoon, Ji-Hun
- In:
Computational economics
61
(
2023
)
4
,
pp. 1561-1591
Persistent link: https://www.econbiz.de/10014327071
Saved in:
2
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Frontczak, Robert
;
Schöbel, Rainer
-
2009
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...
Persistent link: https://www.econbiz.de/10010301790
Saved in:
3
Valuing options in Heston's stochastic volatility model: Another analytical approach
Frontczak, Robert
-
2009
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...
Persistent link: https://www.econbiz.de/10010301794
Saved in:
4
Valuing options in Heston's stochastic volatility model: Another analytical approach
Frontczak, Robert
-
Wirtschaftswissenschaftlichen Fakultät, …
-
2009
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...
Persistent link: https://www.econbiz.de/10009149229
Saved in:
5
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Frontczak, Robert
;
Schöbel, Rainer
-
Wirtschaftswissenschaftlichen Fakultät, …
-
2009
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...
Persistent link: https://www.econbiz.de/10009149241
Saved in:
6
Pricing American options with Mellin transforms
Frontczak, Robert
;
Schöbel, Rainer
-
2008
al. (1992). Finally, we extend the results obtained in Panini and Srivastav (2005) and show how the
Mellin
transform
…
Persistent link: https://www.econbiz.de/10010301786
Saved in:
7
Pricing American options with Mellin transforms
Frontczak, Robert
;
Schöbel, Rainer
-
Wirtschaftswissenschaftlichen Fakultät, …
-
2008
al. (1992). Finally, we extend the results obtained in Panini and Srivastav (2005) and show how the
Mellin
transform
…
Persistent link: https://www.econbiz.de/10009149289
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
