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Author:Sunday Emmanuel Fadugba , Chuma Raphael Nwozo
Data Source:[J].Journal of Mathematical Finance, 2015, Vol.05 (03), pp.249-272Scientific Research Publishing
Abstract:In this paper we present the Mellin transform method for the valuation of the American power put option with non-dividend and dividend yields, respectively. We use the Mellin transform method to derive the integral representations for the price and the free boundary of the A...
Author:Sunday Emmanuel Fadugba , Chuma Raphael Nwozo
Data Source:[J].Journal of Mathematical Finance, 2016, Vol.06 (02), pp.338-359Scientific Research Publishing
Abstract:This paper considers the valuation of European call options via the fast Fourier transform and the improved Mellin transform. The Fourier valuation techniques and Fourier inversion methods for density calculations add a versatile tool to the set of advanced techniques for pr...
Author:Chuma Raphael Nwozo , Sunday Emmanuel Fadugba
Data Source:[J].British Journal of Mathematics & Computer Science, 2015, Vol.5 (1)SDI
Abstract:This paper presents stochastic volatility in the valuation of European options. Stochastic volatility models treat the volatility of the underlying asset as a random process rather than the constant volatility assumption of the Black-Scholes model. By changing the model para...
Author:Sunday Emmanuel Fadugba , Chuma Raphael Nwozo
Data Source:[J].Communications in Applied Sciences, 2014, Vol.2 (1)Infinity Press
Abstract:This paper presents some numerical methods for vanilla option valuation namely binomial tree model, Crank Nicolson method and Monte Carlo method. Binomial model is widely used in the finance community for numerical valuation of a wide variety of option models, due primarily to it...
Author:Chuma Raphael Nwozo , Chuma Raphael Nwozo ...
Data Source:[J].Computational and Applied Mathematics Journal, 2015, Vol.1 (2)AASCIT
Abstract:This paper presents a new technique for the solution of the Black-Scholes partial differential equation for European call option using a method based on the modified Mellin transform. We also used the modified Mellin transform method to determine the price of European call option...

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