We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Valoración de opciones dependientes de trayectoria usando la transformada de Mellin.
- Authors
León Nieto, Diego Ismael
- Abstract
In many cases does not exist or is very difficult to find an analytical solution for the valuation of options with complex payoffs, with such motivation, we present a general framework for the pricing of path-dependent options and the most relevant cases as Asian options and lookback options, this analysis is supported on the deduction of the Black-Scholes partial differential equation for the general case and specific cases. Subsequently, the application of the Mellin transform to the pricing of path-dependent options will be addressed. We found that this method has a great potential to develop, since it is simple and easy to implement, because reduces the problem of valuation under the perspective of the partial differential equation of Black-Scholes to the numerical solution of an integral.
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2016, Issue 10, p117
- ISSN
1794-1113
- Publication type
Academic Journal
- DOI
10.18601/17941113.n10.06