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)


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.

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