[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14403/jcms.2015.28.1.89

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)

Publication Information

Journal of the Chungcheong Mathematical Society / v.28, no.1, 2015 , pp. 89-95 More about this Journal

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.

Keywords

European contingent claims; regime switching; Mellin transforms;

Citations & Related Records

Reference

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