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Explicit Formulas for Hedging Parameters of Perpetual American Options with General Payoffs: A Mellin Transform Approach
Mathematics,
2025
DOI:10.3390/math13030479
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[2]
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Pricing vulnerable options under jump diffusion processes using double Mellin transform
Communications in Statistics - Simulation and Computation,
2023
DOI:10.1080/03610918.2020.1864645
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Using merton jump diffusion model to analyze the response of Jakarta Islamic index stock prices during Covid-19 pandemic
ADVANCES IN INTELLIGENT APPLICATIONS AND INNOVATIVE APPROACH,
2023
DOI:10.1063/5.0140174
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On pricing of vulnerable barrier options and vulnerable double barrier options
Finance Research Letters,
2022
DOI:10.1016/j.frl.2021.102100
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[5]
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A Mellin Transform Approach to the Pricing of Options with Default Risk
Computational Economics,
2022
DOI:10.1007/s10614-021-10121-w
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[6]
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On pricing of vulnerable barrier options and vulnerable double barrier options
Finance Research Letters,
2022
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[7]
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Pricing vulnerable options under jump diffusion processes using double Mellin transform
Communications in Statistics - Simulation and Computation,
2020
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[8]
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Imaginary Mass, Black Scholes Variance, and Group Quantization
SSRN Electronic Journal ,
2018
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[9]
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Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
European Journal of Applied Mathematics,
2017
DOI:10.1017/S0956792516000516
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[10]
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Pricing vulnerable path-dependent options using integral transforms
Journal of Computational and Applied Mathematics,
2017
DOI:10.1016/j.cam.2016.09.024
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A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes
Journal of Mathematical Finance,
2016
DOI:10.4236/jmf.2016.61020
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[12]
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Valuing vulnerable geometric Asian options
Computers & Mathematics with Applications,
2016
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[13]
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A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
East Asian mathematical journal,
2016
DOI:10.7858/eamj.2016.022
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[14]
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The pricing of vulnerable options with double Mellin transforms
Journal of Mathematical Analysis and Applications,
2015
DOI:10.1016/j.jmaa.2014.09.015
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[15]
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EUROPEAN CONTINGENT CLAIMS VALUATION UNDER REGIME SWITCHING USING THE MELLIN TRANSFORM APPROACH
Journal of the Chungcheong Mathematical Society,
2015
DOI:10.14403/jcms.2015.28.1.89
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