Integral Transforms and American Options: Laplace and Mellin go Green
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Abstract
We use Mellin and Laplace transforms to study the price of American options, and show that both transforms yield the same result as the Green’s function approach. Conventional rather than partial transforms are used. We also combine a boundary fixing transformation.
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Alobaidi, G., Mallier, R., & Haslam, M.
(2014).
Integral Transforms and American Options: Laplace and Mellin go Green.
Acta Mathematica Universitatis Comenianae, 83(2), 245-266.
Retrieved from http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/8/74
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