TITLE:
Pricing Options in Jump Diffusion Models Using Mellin Transforms
AUTHORS:
Robert Frontczak
KEYWORDS:
Jump Diffusion; Mellin Transform; European Option
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.3 No.3,
August
15,
2013
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.