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In this paper we investigate the pricing of European contingent claims under regime switching. We use the Mellin transform to derive an analytic form of the valuation of contingent claims.
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참고문헌 (8)
참고문헌 신청
P. Boyle / 2007 / Pricing exotic options under regime switching / In-surance: Mathematics and Economics 40:267~282
R. Frontczak / 2011 / Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach / Journal of Applied Mathematics 2011
R. Frontczak / 2013 / Pricing Options in Jump Diffusion Models Using Mellin Trans-forms / Journal of Mathematical Finance 3:366~373
R. Frontczak / 2010 / On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options / Journal of Computa-tional and Applied Mathematics 234:1559~1571
L. Jodar / 2005 / A new direct method for solving the Black-Scholes equation / Applied Mathematics Letters 18:29~32
R. Frontczak / 2011 / Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach / Journal of Applied Mathematics 2011
R. Frontczak / 2013 / Pricing Options in Jump Diffusion Models Using Mellin Trans-forms / Journal of Mathematical Finance 3:366~373
R. Frontczak / 2010 / On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options / Journal of Computa-tional and Applied Mathematics 234:1559~1571
L. Jodar / 2005 / A new direct method for solving the Black-Scholes equation / Applied Mathematics Letters 18:29~32
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