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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:... Boniface Kayode Alese , Sunday Emmanuel Fadugba , Kolade Owoeye
Data Source:[J].Int'l J. of Communications, Network and System Sciences, 2014, Vol.07 (05), pp.151-163Scientific Research Publishing
Abstract:This paper presents issues and trepidationsassociated with transferring from conventional methods of electricitymonitoring and distribution to the cyberspace, especially in developingcountries like Nigeria where current approaches have failed to provide regular,reliable electric ...
Author:Sunday Emmanuel Fadugba , Chuma Raphael Nwozo
Data Source:[J].Applied Mathematics, 2015, Vol.6 (5), pp.783-792Airiti
Abstract:This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin transform. We show that by the decomposition of the integral equ...
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...

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