Laplace and Mellin go Green
G. Alobaidi, R. Mallier and M. C. Haslam
Received: July 7, 2013; Revised: February 2, 2014; Accepted: February 28, 2014
Abstract. We use Mellin and Laplace transforms to study the price of American options, and show that both transforms produce solutions and integral equations which are equivalent to the Green's function approach. Conventional rather than partial transforms are used. We also combine a boundary fixing transformation with the integral transforms.
Keywords: American options; integral transform; Laplace transform; Mellin transform; free boundary.
AMS Subject classification: Primary: 91B28
Version to read: PDF
ISSN 0862-9544 (Printed edition)
Faculty of Mathematics, Physics and Informatics
842 48 Bratislava, Slovak Republic
Telephone: + 421-2-60295111 Fax: + 421-2-65425882
e-Mail: email@example.com Internet: www.iam.fmph.uniba.sk/amuc
© 2014, ACTA MATHEMATICA UNIVERSITATIS COMENIANAE