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dc.contributor.authorFrontczak, Roberten_US
dc.contributor.authorSchöbel, Raineren_US
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.publisherUniv., Wirtschaftswiss. Fak. Tübingenen_US
dc.relation.ispartofseriesTübinger Diskussionsbeitrag 319en_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.titlePricing American options with Mellin transformsen_US
dc.typeWorking Paperen_US
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