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

<p>In this thesis a new method for the option pricing will be introduced with</p><p>the help of the Mellin transforms. Firstly, the Mellin transform techniques for</p><p>options on a single underlying stock is presented. After that basket options</p><p>will be considered. Finally, an improvement of existing numerical results</p><p>applied to Mellin transforms for 1-basket and 2-basket American Put Option</p><p>will be discussed concisely. Our approach does not require either variable</p><p>transformations or solving diusion equations.</p>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-3075
Date January 2009
CreatorsVasilieva, Olesya
PublisherHalmstad University, Applied Mathematics and Physics (CAMP)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, text

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