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

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

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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 res...

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Bibliographic Details
Main Author: Vasilieva, Olesya
Format: Others
Language:English
Published: Högskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS) 2009
Subjects:
Mellin transforms
Newton´s Method
American Put Option
basket options
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3085
Description
Summary: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. === thesis

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