Pricing American options with Mellin transforms
Year of publication: |
2008
|
---|---|
Authors: | Frontczak, Robert ; Schöbel, Rainer |
Institutions: | Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen |
Subject: | Mellin transform | Power option | American put option | Free boundary | Integral representation |
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