Option is an asymmetric contract between two parties with future payoff derived from the price of underlying asset. Methods of pricing di erent types of options under more or less general assumptions have been extensively studied since the Nobel price winning works of Black and Scholes [1] and Merton [12] were published in 1973. A new way of pricing options with the use of Mellin transforms have been recently introduced by Panini and Srivastav [15] in 2004. This thesis offers a brief introduction to option pricing with Mellin transforms and a revision of some of the recent
research in this field.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0722110-181506 |
| Date | 22 July 2010 |
| Creators | Kocourek, Pavel |
| Contributors | Hong-Kun XU, Jen-Chih YAO, Lai-Jiu LIN, Ngai-Ching WONG |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0722110-181506 |
| Rights | restricted, Copyright information available at source archive |
Page generated in 0.002 seconds