MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION

Please use this identifier to cite or link to this item: http://ir.library.ui.edu.ng/handle/123456789/4056

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DC Field	Value	Language
dc.contributor.author	Fadugba, S.E.	-
dc.date.accessioned	2019-01-22T11:35:09Z	-
dc.date.available	2019-01-22T11:35:09Z	-
dc.date.issued	2017-05	-
dc.identifier.other	ui_thesis_fadugba_mellin_2017	-
dc.identifier.uri	http://ir.library.ui.edu.ng/handle/123456789/4056	-
dc.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	en_US
dc.description.abstract	An p (Sn t ; t) = 1 2 i Z c+i1 c􀀀i1 K!+1 !(! + 1) e 1 2n2 2(!2+ 1!􀀀 2)(T􀀀t)(Sn t )􀀀!d! + rK 2 i Z c+i1 c􀀀i1 Z T t (Sn t )􀀀! ( Sn y )! ! e 1 2n2 2(!2+ 1 !􀀀 2)(y􀀀t)dyd! 􀀀 q 2 i Z c+i1 c􀀀i1 Z T t (Sn t )􀀀! ( Sn y )!+1 ! + 1 e 1 2n2 2(!2+ 1 !􀀀 2)(y􀀀t)dyd!	en_US
dc.language.iso	en	en_US
dc.subject	American power put option,	en_US
dc.subject	Geometric Brownian motion	en_US
dc.subject	Ito's lemma	en_US
dc.subject	Non-homogeneous Black-Scholes-Merton-like equation	en_US
dc.subject	Value-matching condition	en_US
dc.title	MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION	en_US
dc.type	Thesis	en_US
Appears in Collections:	Theses

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