Distributional Mellin calculus in Cⁿ, with applications to option pricing

الأصل · EN

We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in Cⁿ and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This includes European option models such as Black-Scholes or fractional-diffusion models, as well as evaluation of quantities related to the optimal exercise price of American options.