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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
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
Relating Fibonacci Numbers to Bernoulli Numbers via Balancing Polynomials
- R. Frontczak
- Computer Science
- J. Integer Seq.
- 2019
TLDR
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
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
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
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
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.
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