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 diffusion equations. / thesis
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-3085 |
| Date | January 2009 |
| Creators | Vasilieva, Olesya |
| Publisher | Högskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS) |
| 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 |
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