Pricing Options in Jump Diffusion Models Using Mellin Transforms

Abstract

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 transform. The solution is a single integral expression independent of the distribution of the jump size. We also derive analytical expressions for the Greeks. The results are implemented and compared to other approaches.

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Cite this paper

@inproceedings{Frontczak2013PricingOI, title={Pricing Options in Jump Diffusion Models Using Mellin Transforms}, author={Robert Frontczak}, year={2013} }