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European contingent claims valuation under regime switching using the Mellin transform approach
- Ho-Seok Lee;
- 신용현
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0초록
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.
키워드
European contingent claims; regime switching; Mellin transforms.
- 제목
- European contingent claims valuation under regime switching using the Mellin transform approach
- 저자
- Ho-Seok Lee; 신용현
- 발행일
- 2015-02
- 저널명
- 충청수학회지
- 권
- 28
- 호
- 1
- 페이지
- 89 ~ 95