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Kniha Option pricing theory using Mellin transforms Pavel Kocourek

Option pricing theory using Mellin transforms

Autor: Pavel Kocourek
Jazyk: Angličtina
Väzba: Brožovaná
Vydavateľ: VDM Verlag
Dostupnosť: Skladom u dodávateľa
Odosielame za 14-21 dní
47.43 €
This thesis seeks to provide an overview on the use of Mellin transforms in Option pricing and to ex...

Informácie o knihe

Autor
Pavel Kocourek
Jazyk
Angličtina
Väzba
Kniha - Brožovaná
Vydalo
2011
Stránok
72
EAN
9783639356588
ISBN
3639356586
Enbook ID
06842627
Vydavateľ
VDM Verlag
Hmotnosť
124
Rozmery
218 x 146 x 5

Kompletný popis

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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