Barrier Option Under Lévy Model : A PIDE and Mellin Transform Approach
We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform. The stock price is driven by a class of infinite activity Lévy processes...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-01-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/4/1/2 |