Pricing Asian options in financial markets using Mellin transforms

Pricing Asian options in financial markets using Mellin transforms

We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the...

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Bibliographic Details
Main Author: Indranil SenGupta
Format: Article
Language:English
Published: Texas State University 2014-11-01
Series:Electronic Journal of Differential Equations
Subjects:
Asian option
Ornstein-Uhlenbeck type process
Levy processes
martingale
Mellin transform
Online Access:http://ejde.math.txstate.edu/Volumes/2014/234/abstr.html
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spelling doaj-4b18fcf9867b4bd7a6159991f683119a2020-11-24T21:04:09ZengTexas State UniversityElectronic Journal of Differential Equations1072-66912014-11-012014234,19Pricing Asian options in financial markets using Mellin transformsIndranil SenGupta0 North Dakota State Univ., Fargo, ND, USA We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.http://ejde.math.txstate.edu/Volumes/2014/234/abstr.htmlAsian optionOrnstein-Uhlenbeck type processLevy processesmartingaleMellin transform
collection DOAJ
language English
format Article
sources DOAJ
author Indranil SenGupta
spellingShingle Indranil SenGupta
Pricing Asian options in financial markets using Mellin transforms
Electronic Journal of Differential Equations
Asian option
Ornstein-Uhlenbeck type process
Levy processes
martingale
Mellin transform
author_facet Indranil SenGupta
author_sort Indranil SenGupta
title Pricing Asian options in financial markets using Mellin transforms
title_short Pricing Asian options in financial markets using Mellin transforms
title_full Pricing Asian options in financial markets using Mellin transforms
title_fullStr Pricing Asian options in financial markets using Mellin transforms
title_full_unstemmed Pricing Asian options in financial markets using Mellin transforms
title_sort pricing asian options in financial markets using mellin transforms
publisher Texas State University
series Electronic Journal of Differential Equations
issn 1072-6691
publishDate 2014-11-01
description We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.
topic Asian option
Ornstein-Uhlenbeck type process
Levy processes
martingale
Mellin transform
url http://ejde.math.txstate.edu/Volumes/2014/234/abstr.html
work_keys_str_mv AT indranilsengupta pricingasianoptionsinfinancialmarketsusingmellintransforms
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