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A new method of pricing multi-options using Mellin transforms and integral equations

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

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-3085
Date January 2009
CreatorsVasilieva, Olesya
PublisherHögskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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