Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40305
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dc.contributor.authorFrontczak, Roberten_US
dc.contributor.authorSchöbel, Raineren_US
dc.date.accessioned2009-05-29en_US
dc.date.accessioned2010-09-24T14:42:17Z-
dc.date.available2010-09-24T14:42:17Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:bsz:21-opus-37353en_US
dc.identifier.urihttp://hdl.handle.net/10419/40305-
dc.description.abstractMellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put options using Mellin transforms. Thereafter, we restrict our attention to plain vanilla options on dividend-paying stocks and derive the integral equations to determine the free boundary and the price of American put options using Mellin transforms. We recover a result found by Kim (1990) regarding the optimal exercise price of American put options at expiry and prove the equivalence of integral representations herein, the representation derived by Kim (1990), Jacka (1991), and by Carr et al. (1992). Finally, we extend the results obtained in Panini and Srivastav (2005) and show how the Mellin transform approach can be used to derive the valuation formula for perpetual American put options on dividend-paying stocks.en_US
dc.language.isoengen_US
dc.publisher|aUniv., Wirtschaftswiss. Fak. |cTübingenen_US
dc.relation.ispartofseries|aTübinger Diskussionsbeitrag |x319en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordMellin transformen_US
dc.subject.keywordPower optionen_US
dc.subject.keywordAmerican put optionen_US
dc.subject.keywordFree boundaryen_US
dc.subject.keywordIntegral representationen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwAnalysisen_US
dc.subject.stwTheorieen_US
dc.titlePricing American options with Mellin transformsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn600762874en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuedps:319-

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