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MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION
An p (Sn t ; t) = 1 2 i Z c+i1 ci1 K!+1 !(! + 1) e 1 2n2 2(!2+ 1! 2)(Tt)(Sn t )!d! + rK 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )! ! e 1 2n2 2(!2+ 1 ! 2)(yt)dyd! q 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )!+1 ! + 1 e 1 2n2 2(!2+ 1 ! 2)(yt)dyd!
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| Format: | Thesis |
|---|---|
| Published: |
2017-05
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| LEADER | 00000njm a2000000a 4500 | ||
|---|---|---|---|
| 001 | oai:repository.ui.edu.ng:123456789/4056 | ||
| 042 | |a dc | ||
| 720 | |a Fadugba, S.E. |e author | ||
| 260 | |c 2017-05 | ||
| 520 | |a An p (Sn t ; t) = 1 2 i Z c+i1 ci1 K!+1 !(! + 1) e 1 2n2 2(!2+ 1! 2)(Tt)(Sn t )!d! + rK 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )! ! e 1 2n2 2(!2+ 1 ! 2)(yt)dyd! q 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )!+1 ! + 1 e 1 2n2 2(!2+ 1 ! 2)(yt)dyd! | ||
| 024 | 8 | |a ui_thesis_fadugba_mellin_2017 | |
| 024 | 8 | |a http://ir.library.ui.edu.ng/handle/123456789/4056 | |
| 653 | |a American power put option, | ||
| 653 | |a Geometric Brownian motion | ||
| 653 | |a Ito's lemma | ||
| 653 | |a Non-homogeneous Black-Scholes-Merton-like equation | ||
| 653 | |a Value-matching condition | ||
| 245 | 0 | 0 | |a MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION |