Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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EUROPEAN CONTINGENT CLAIMS VALUATION UNDER REGIME SWITCHING USING THE MELLIN TRANSFORM APPROACH

  • Lee, Ho-Seok (FX & Derivatives Trading Division Korea Exchange Bank) ;
  • Shin, Yong Hyun (Department of Mathematics Sookmyung Women's University)
  • Received : 2014.10.02
  • Accepted : 2015.01.27
  • Published : 2015.02.15
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Abstract

In this paper we investigate the pricing of European contingent claims under regime switching. We use the Mellin transform to derive an analytic form of the valuation of contingent claims.

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References

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