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Publications Influence

On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options

- R. Frontczak, R. Schöbel
- Computer Science, Mathematics
- J. Comput. Appl. Math.
- 1 July 2010

TLDR

33 5- PDF

Pricing American options with Mellin transforms

- R. Frontczak, R. Schöbel
- 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 derive… Expand

14 4- PDF

Infinite series involving Fibonacci numbers and the Riemann zeta function

- R. Frontczak, Landesbank Baden-Wuerttemberg
- Mathematics
- 1 July 2020

4 3- PDF

Relating Fibonacci Numbers to Bernoulli Numbers via Balancing Polynomials

- R. Frontczak
- Computer Science
- J. Integer Seq.
- 2019

TLDR

4 2- PDF

More Fibonacci-Bernoulli relations with and without balancing polynomials

- R. Frontczak, T. Goy
- 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 with… Expand

3 2- PDF

Pricing Options in Jump Diffusion Models Using Mellin Transforms

- R. Frontczak
- Mathematics
- 8 August 2013

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 integral… Expand

14 1- PDF

On the Application of Mellin Transforms in the Theory of Option Pricing

- R. Frontczak
- Mathematics
- 2010

3 1

On infinite series involving Fibonacci numbers

- R. Frontczak
- Mathematics
- 2015

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- PDF

Simple Analytical Approximations for the Critical Stock Price of American Options

- R. Frontczak
- Economics
- 1 February 2013

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 important… Expand

3 1

General infinite series evaluations involving Fibonacci numbers and the Riemann Zeta function

- R. Frontczak, T. Goy
- 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

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