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has been cited by the following article:

• 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.