Pricing American Options with Mellin Transforms

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Show simple item record Frontczak, Robert de_DE Schöbel, Rainer de_DE 2009-02-24 de_DE 2014-03-18T10:02:57Z 2009-02-24 de_DE 2014-03-18T10:02:57Z 2008 de_DE
dc.identifier.other 304626821 de_DE
dc.identifier.uri de_DE
dc.description.abstract Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put options using Mellin transforms. Thereafter, we restrict our attention to plain vanilla options on dividend-paying stocks and derive the integral equations to determine the free boundary and the price of American put options using Mellin transforms. We recover a result found by Kim (1990) regarding the optimal exercise price of American put options at expiry and prove the equivalence of integral representations herein, the representation derived by Kim (1990), Jacka (1991), and by Carr et al. (1992). Finally, we extend the results obtained in Panini and Srivastav (2005) and show how the Mellin transform approach can be used to derive the valuation formula for perpetual American put options on dividend-paying stocks. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri de_DE
dc.rights.uri en
dc.subject.classification Mellin-Transformation de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Mellin transform , Power option , American put option , Free boundary , Integral representation en
dc.title Pricing American Options with Mellin Transforms en
dc.type WorkingPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE 3735 de_DE
utue.opus.portal wiwidisk de_DE
utue.opus.portalzaehlung 319.00000 de_DE
utue.publikation.source Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 319 de_DE
utue.publikation.reihenname Tübinger Diskussionsbeitrag de_DE
utue.publikation.zsausgabe 319
utue.publikation.erstkatid 2136475-8


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