Distributional Mellin calculus in Cn\mathbb{C}^n, with applications to option pricing

preprint2016arXivOpen access

Abstract

We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in Cn\mathbb{C}^n and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This includes European option models such as Black-Scholes or fractional-diffusion models, as well as evaluation of quantities related to the optimal exercise price of American options.

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