On Modified Mellin Transforms, Gauss-Laguerre Quadrature, and the Valuation of American Call Options

Autor:	Frontczak, Robert, Schöbel, Rainer
Jazyk:	angličtina
Rok vydání:	2009
Předmět:	G13 Mellin-Transformation ddc:330 Optionspreistheorie Integral representation Modified Mellin transform American call option Integral representation Modified Mellin transform Analysis Theorie American call option
Popis:	We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary using modied Mellin transforms. We also show how to derive the pricing formula for perpetual American call options using the new framework. A recovery of a result due to Kim (1990) regarding the optimal exercise price at expiry is also presented. Finally, we apply Gauss-Laguerre quadrature for the purpose of an efficient and accurate numerical valuation. 2. edition
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d5a351cc1757465827fa790b39de00b9 https://hdl.handle.net/10900/47621 Zobrazit plný text záznamu