MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION
| 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.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 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! | en_US |
| dc.identifier.other | ui_thesis_fadugba_mellin_2017 | |
| dc.identifier.uri | http://ir.library.ui.edu.ng/handle/123456789/4056 | |
| 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 |