Electron. J. Diff. Equ., Vol. 2014 (2014), No. 234, pp. 1-9.

Pricing Asian options in financial markets using Mellin transforms

Indranil Sengupta

We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.

Submitted July 22, 2013. Published November 3, 2014.
Math Subject Classifications: 91G60, 91G70, 91G80
Key Words: Asian option; Ornstein-Uhlenbeck type process; Levy processes; martingale; Mellin transform.

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Indranil Sengupta
Department of Mathematics
North Dakota State University
Fargo, ND 58102, USA
email: indranil.sengupta@ndsu.edu

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