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Книга Option pricing theory using Mellin transforms Pavel Kocourek

Option pricing theory using Mellin transforms

Автор: Pavel Kocourek
Език: Английски език
Корици: С меки корици
Издател: VDM Verlag
Наличност: Външен склад
Изпращаме след 9-15 дни
49.89 € 97.58 лв
This thesis seeks to provide an overview on the use of Mellin transforms in Option pricing and to ex...

Информация за книгата

Автор
Pavel Kocourek
Език
Английски език
Корици
Книга - С меки корици
Издадена
2011
страници
72
EAN
9783639356588
ISBN
3639356586
Enbook ID
06842627
Издател
VDM Verlag
Теглоt
124
Размери
218 x 146 x 5

Пълно описание

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.

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