In this thesis a new method for the option pricing will be introduced with the help of the Mellin transforms. Firstly, the Mellin transform techniques for options on a single underlying stock is presented. After that basket options will be considered. Finally, an improvement of existing numerical results applied to Mellin transforms for 1-basket and 2-basket American Put Option will be discussed concisely. Our approach does not require either variable transformations or solving diusion equations.
Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-3075 |
Date | January 2009 |
Creators | Vasilieva, Olesya |
Publisher | Högskolan i Halmstad, Tillämpad matematik och fysik (CAMP) |
Source Sets | DiVA Archive at Upsalla University |
Language | English |
Detected Language | English |
Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
Format | application/pdf |
Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0014 seconds