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http://ir.library.ui.edu.ng/handle/123456789/4056| Title: | MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION |
| Authors: | Fadugba, S.E. |
| Keywords: | American power put option, Geometric Brownian motion Ito's lemma Non-homogeneous Black-Scholes-Merton-like equation Value-matching condition |
| Issue Date: | May-2017 |
| Abstract: | An p (Sn t ; t) = 1 2 i Z c+i1 ci1 K!+1 !(! + 1) e 1 2n2 2(!2+ 1! 2)(Tt)(Sn t )!d! + rK 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )! ! e 1 2n2 2(!2+ 1 ! 2)(yt)dyd! q 2 i Z c+i1 ci1 Z T t (Sn t )! ( Sn y )!+1 ! + 1 e 1 2n2 2(!2+ 1 ! 2)(yt)dyd! |
| Description: | A Thesis in the Department of Mathematics, Submitted to the Faculty of Science in partial fulfillment of the requirements for the Degree of DOCTOR OF PHILOSOPHY of the UNIVERSITY OF IBADAN |
| URI: | http://ir.library.ui.edu.ng/handle/123456789/4056 |
| Appears in Collections: | Theses |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ui_thesis_fadugba_mellin_2017.pdf | full text | 2.55 MB | Adobe PDF |  View/Open |
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