Option Pricing Theory Using Mellin Transforms: Techniques for Pricing Options with the Use of Mellin Transforms - Operational and Rigorous  Approach. - Pavel Kocourek - Kirjat - VDM Verlag Dr. Müller - 9783639356588 - keskiviikko 15. kesäkuuta 2011
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Option Pricing Theory Using Mellin Transforms: Techniques for Pricing Options with the Use of Mellin Transforms - Operational and Rigorous Approach.

Pavel Kocourek

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Option Pricing Theory Using Mellin Transforms: Techniques for Pricing Options with the Use of Mellin Transforms - Operational and Rigorous Approach.

This thesis seeks to provide an overview on the use of Mellin transforms in Option pricing and to explain related issues. After introducing some basic concepts of Stochastic analysis and Option pricing, we use Mellin transforms as a tool to uncover formulas for pricing of different types of financial derivatives, such as European vanilla and power options, or the American options. Most of this content can be regarded as a summary of existing results on the use of Mellin transforms in option pricing. The main added value of the thesis is the deeper mathematical analysis which most of the preceding studies were lacking. In fact, although Mellin transforms offer an exceedingly convenient tool under the operational (optimistic) approach, the detailed analysis of its use is rather nontrivial.

Media Kirjat     Paperback Book   (Kirja pehmeillä kansilla ja liimatulla selällä)
Julkaisupäivämäärä keskiviikko 15. kesäkuuta 2011
ISBN13 9783639356588
Tuottaja VDM Verlag Dr. Müller
Sivujen määrä 72
Mitta 150 × 4 × 226 mm   ·   117 g
Kieli English