Journal of Mathematical Finance

Volume 3, Issue 3 (August 2013)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 1.39  Citations  

Pricing Options in Jump Diffusion Models Using Mellin Transforms

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DOI: 10.4236/jmf.2013.33037    7,645 Downloads   11,605 Views  Citations
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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.

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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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