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Pricing Options in Jump Diffusion Models Using Mellin Transforms

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DOI: 10.4236/jmf.2013.33037    5,886 Downloads   8,869 Views   Citations

ABSTRACT

This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integral transform. The solution is a single integral expression independent of the distribution of the jump size. We also derive analytical expressions for the Greeks. The results are implemented and compared to other approaches.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

R. Frontczak, "Pricing Options in Jump Diffusion Models Using Mellin Transforms," Journal of Mathematical Finance, Vol. 3 No. 3, 2013, pp. 366-373. doi: 10.4236/jmf.2013.33037.

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