In this paper, we use Mellin transform to get the expression for the free boundary an price of an American finite-lived option, when the underlying is govern by the Levy process. We have also derived the free boundary and price of an American perpetual put as the limit of the preceded finite-lived option. We then show how to compute the price of an American option on a basket of stocks using Mellin transform of several variables.
Publié le : 2006-07-05
Classification:
PIDE.,
American put option,
Basket put option,
Levy process,
Mellin transform,
Convolution,
Free boundary,
PIDE,
45K05, 35R35, 44A05, 60H30, 91B30, 91B70,
[MATH.MATH-AP]Mathematics [math]/Analysis of PDEs [math.AP],
[INFO.INFO-CE]Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE]
@article{hal-00018662,
author = {Sadefo Kamdem, Jules},
title = {OPTION PRICING WITH LEVY PROCESS USING MELLIN TRANSFORM},
journal = {HAL},
volume = {2006},
number = {0},
year = {2006},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00018662}
}
Sadefo Kamdem, Jules. OPTION PRICING WITH LEVY PROCESS USING MELLIN TRANSFORM. HAL, Tome 2006 (2006) no. 0, . http://gdmltest.u-ga.fr/item/hal-00018662/