Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/40305 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorFrontczak, Roberten
dc.contributor.authorSchöbel, Raineren
dc.date.accessioned2009-05-29-
dc.date.accessioned2010-09-24T14:42:17Z-
dc.date.available2010-09-24T14:42:17Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:bsz:21-opus-37353en
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
dc.language.isoengen
dc.publisher|aEberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät |cTübingenen
dc.relation.ispartofseries|aTübinger Diskussionsbeiträge |x319en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordMellin transformen
dc.subject.keywordPower optionen
dc.subject.keywordAmerican put optionen
dc.subject.keywordFree boundaryen
dc.subject.keywordIntegral representationen
dc.subject.stwOptionspreistheorieen
dc.subject.stwAnalysisen
dc.subject.stwTheorieen
dc.titlePricing American options with Mellin transforms-
dc.typeWorking Paperen
dc.identifier.ppn600762874en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuedps:319en

Datei(en):
Datei
Größe
287.37 kB





Publikationen in EconStor sind urheberrechtlich geschützt.