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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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
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spelling ndltd-UPSALLA1-oai-DiVA.org-hh-30852013-01-08T13:20:45ZA new method of pricing multi-options using Mellin transforms and integral equationsengVasilieva, OlesyaHögskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS)2009Mellin transformsNewton´s MethodAmerican Put Optionbasket optionsIn 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. thesisStudent thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3085application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Mellin transforms
Newton´s Method
American Put Option
basket options
spellingShingle Mellin transforms
Newton´s Method
American Put Option
basket options
Vasilieva, Olesya
A new method of pricing multi-options using Mellin transforms and integral equations
description 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
author Vasilieva, Olesya
author_facet Vasilieva, Olesya
author_sort Vasilieva, Olesya
title A new method of pricing multi-options using Mellin transforms and integral equations
title_short A new method of pricing multi-options using Mellin transforms and integral equations
title_full A new method of pricing multi-options using Mellin transforms and integral equations
title_fullStr A new method of pricing multi-options using Mellin transforms and integral equations
title_full_unstemmed A new method of pricing multi-options using Mellin transforms and integral equations
title_sort new method of pricing multi-options using mellin transforms and integral equations
publisher Högskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS)
publishDate 2009
url http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3085
work_keys_str_mv AT vasilievaolesya anewmethodofpricingmultioptionsusingmellintransformsandintegralequations
AT vasilievaolesya newmethodofpricingmultioptionsusingmellintransformsandintegralequations
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