Title page for etd-0722110-181506


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URN etd-0722110-181506
Author Pavel Kocourek
Author's Email Address pakoinf@gmail.com
Statistics This thesis had been viewed 5099 times. Download 9 times.
Department Applied Mathematics
Year 2009
Semester 2
Degree Master
Type of Document
Language English
Title Option pricing theory using Mellin transforms
Date of Defense 2010-06-17
Page Count 74
Keyword
  • option pricing
  • Mellin transform
  • European option
  • Black-Scholes model
  • American option
  • Abstract Option is an asymmetric contract between two parties with future payoff derived from the price of underlying asset. Methods of pricing di erent types of options under more or less general assumptions have been extensively studied since the Nobel price winning works of Black and Scholes [1] and Merton [12] were published in 1973. A new way of pricing options with the use of Mellin transforms have been recently introduced by Panini and Srivastav [15] in 2004. This thesis offers a brief introduction to option pricing with Mellin transforms and a revision of some of the recent
    research in this field.
    Advisory Committee
  • Lai-Jiu LIN - chair
  • Jen-Chih YAO - co-chair
  • Ngai-Ching WONG - co-chair
  • Hong-Kun XU - advisor
  • Files
  • etd-0722110-181506.pdf
  • indicate in-campus access only
    Date of Submission 2010-07-22

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