A new method of pricing multi-options using Mellin transforms and integral equations
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...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Halmstad Embedded and Intelligent Systems Research (EIS)
2009
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3085 |