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European contingent claims valuation under regime switching using the Mellin transform approach
- Authors
- Ho-Seok Lee; 신용현
- Issue Date
- Feb-2015
- Publisher
- 충청수학회
- Keywords
- European contingent claims; regime switching; Mellin transforms.
- Citation
- 충청수학회지, v.28, no.1, pp 89 - 95
- Pages
- 7
- Journal Title
- 충청수학회지
- Volume
- 28
- Number
- 1
- Start Page
- 89
- End Page
- 95
- ISSN
- 1226-3524
2383-6245
- Abstract
- In this paper we investigate the pricing of Europeancontingent claims under regime switching. We use the Mellin trans-form to derive an analytic form of the valuation of contingent claims.
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