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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 |
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| Published: |
2017-05
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