Option pricing with Mellin transforms

Mathematical and Computer Modelling

Volumn 40, Issue 1-2, 2004, Pages 43-56

  Panini, R ^a   Srivastav, R P ^a  

^a Stony Brook University   (United States)

Author keywords

Basket put option; Convolution; Free boundary; Mellin transform

Indexed keywords

MELLIN TRANSFORMS; OPTION PRICING;

COSTS; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS;

INTEGRAL EQUATIONS;

EID: 9944250572     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mcm.2004.07.008     Document Type: Article

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