A new method of pricing multi-options using Mellin transforms and Integral equations
Detta är en Magister-uppsats från Tillämpad matematik och fysik (CAMP)
Sammanfattning: In this thesis a new method for the option pricing will be introduced with the help of the Mellin transforms. Firstly, the Mellin transform techniques for options on a single underlying stock is presented. After that basket options will be considered. Finally, an improvement of existing numerical results applied to Mellin transforms for 1-basket and 2-basket American Put Option will be discussed concisely. Our approach does not require either variable transformations or solving diusion equations.
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