• Publications
• Influence
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Computer Science, Mathematics
• J. Comput. Appl. Math.
• 1 July 2010
We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend-paying stocks. Expand
• 33
• 5
• PDF
Pricing American options with Mellin transforms
• Mathematics
• 2008
Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We deriveExpand
• 14
• 4
• PDF
Relating Fibonacci Numbers to Bernoulli Numbers via Balancing Polynomials
We present new identities involving Fibonacci and Bernoulli numbers, and Lucas and Euler numbers, respectively. Expand
• 4
• 2
• PDF
More Fibonacci-Bernoulli relations with and without balancing polynomials
• Mathematics
• 29 July 2020
We continue our study on relationships between Bernoulli polynomials and balancing (Lucas-balancing) polynomials. From these polynomial relations, we deduce new combinatorial identities withExpand
• 3
• 2
• PDF
Pricing Options in Jump Diffusion Models Using Mellin Transforms
This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integralExpand
• 14
• 1
• PDF
On infinite series involving Fibonacci numbers
The Fibonacci sequence (or Fibonacci numbers) is one of the most popular and fascinating linear sequences in mathematics. It is defined recursively as F0 = 0, F1 = 1, and Fn+2 = Fn+1 + Fn for n ≥ 0.Expand
• 4
• 1
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Simple Analytical Approximations for the Critical Stock Price of American Options
Recent results for pricing American options based on Mellin transforms are used to derive several approximations for the critical stock price of a finite-living American option. We prove importantExpand
• 3
• 1
General infinite series evaluations involving Fibonacci numbers and the Riemann Zeta function
• Mathematics
• 6 May 2020
The purpose of this article is to present closed forms for various types of infinite series involving Fibonacci (Lucas) numbers and the Riemann zeta function at integer arguments.
• 3
• 1
• PDF