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

University essay from Högskolan i Halmstad/Halmstad Embedded and Intelligent Systems Research (EIS)

Abstract:

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.

  AT THIS PAGE YOU CAN DOWNLOAD THE WHOLE ESSAY. (follow the link to the next page)