mellin transform method for european option pricing with hull-white stochastic interest rate

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ID: 243296
2014
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Abstract
Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.
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yoon2014journalmellin Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Ji-Hun Yoon
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Journal Chemico-biological interactions
Year 2014
DOI
10.1155/2014/759562
URL
http://dx.doi.org/10.1155/2014/759562
Keywords
mathematics

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