학술저널
EUROPEAN CONTINGENT CLAIMS VALUATION UNDER REGIME SWITCHING USING THE MELLIN TRANSFORM APPROACH
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 28, No. 1
-
2015.0289 - 95 (7 pages)
- 4
In this paper we investigate the pricing of European contingent claims under regime switching. We use the Mellin trans-form to derive an analytic form of the valuation of contingent claims.
1. Introduction
2. Differential equations and the Mellin transform
3. Solutions to the equations
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