Found 18 Documents (Results 1–18)
Closed-form option pricing for exponential Lévy models: a residue approach. (English) Zbl 1518.91270
Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach. (English) Zbl 1540.91074
Perpetual American power put options with non-dividend yield in the domain of Mellin transforms. (English) Zbl 1443.91287
An approximated European option price under stochastic elasticity of variance using Mellin transforms. (English) Zbl 1440.91037
Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (English) Zbl 1422.91675
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. (English) Zbl 1354.91151
Mellin transform method for European option pricing with Hull-White stochastic interest rate. (English) Zbl 1442.91106
Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options. (English) Zbl 1297.91137
Algorithms for approximating finite Hilbert transform with end-point singularities and its derivatives. (English) Zbl 1236.65158
Reviewer: Som Prakash Goyal (Jaipur)
On a certain class of integral equations associated with Hankel transforms. (English) Zbl 1129.45001
Reviewer: Adrian Carabineanu (Bucureşti)
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