Barrier Option Under Lévy Model : A PIDE and Mellin Transform Approach
نویسندگان
چکیده
منابع مشابه
Barrier Option Under Lévy Model : A PIDE and Mellin Transform Approach
Abstract: We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform. The stock price is driven by a class of infinite activity Lévy processes leading to the market inherently incomplete, and dynamic hedging is no longer risk free...
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ژورنال
عنوان ژورنال: Mathematics
سال: 2016
ISSN: 2227-7390
DOI: 10.3390/math4010002