On Modified Mellin Transforms, Gauss-Laguerre Quadrature, and the Valuation of American Call Options

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dc.contributor.author Frontczak, Robert de_DE
dc.contributor.author Schöbel, Rainer de_DE
dc.date.accessioned 2009-05-27 de_DE
dc.date.accessioned 2014-03-18T10:03:00Z
dc.date.available 2009-05-27 de_DE
dc.date.available 2014-03-18T10:03:00Z
dc.date.issued 2009 de_DE
dc.identifier.other 306992388 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-39215 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47621
dc.description.abstract We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modied Mellin transforms. We also show how to derive the pricing formula for perpetual American call options using the new framework. A recovery of a result due to Kim (1990) regarding the optimal exercise price at expiry is also presented. Finally, we apply Gauss-Laguerre quadrature for the purpose of an efficient and accurate numerical valuation. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Mellin-Transformation de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Modified Mellin transform , American call option , Integral representation en
dc.title On Modified Mellin Transforms, Gauss-Laguerre Quadrature, and the Valuation of American Call Options en
dc.type ResearchPaper 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
utue.opus.id 3921 de_DE
utue.opus.portal wiwidisk de_DE
utue.opus.portalzaehlung 320.00000 de_DE
utue.publikation.source Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 320 de_DE
utue.publikation.reihenname Tübinger Diskussionsbeitrag de_DE
utue.publikation.zsausgabe 320
utue.publikation.erstkatid 2136475-8

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