2016/11/10 by Jean-Philippe Aguilar, Cyril Coste, Aguilar, Jean-Philippe +5
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #32A20 #46F12 #91G20 #FOS: Economics and business #Fractional Differential Equations Solutions #Insurance, Mortality, Demography, Risk Management #Mathematical functions and polynomials #Pricing of Securities (q-fin.PR) #Probability and Risk Models #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1611.03239
openalex publication_date 2016/11/10 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
We discuss several aspects of Mellin transform, including distributional\nMellin transform and inversion of multiple Mellin-Barnes integrals in\n\ℂn and its connection to residue expansion or evaluation of Laplace\nintegrals. These mathematical concepts are demonstrated on several\noption-pricing models. This includes European option models such as\nBlack-Scholes or fractional-diffusion models, as well as evaluation of\nquantities related to the optimal exercise price of American options.\n